Not all estimators are born equal: The empirical properties of some estimators of long memory

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Not all estimators are born equal: The empirical properties of some estimators of long memory

We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H, or the fractional integration parameter, d, in long memory time series which are available in R packages. We compare and contrast their performance on simulated Fractional Gaussian...

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Bibliographic Details
Main Authors:	Rea, W., Oxley, Leslie, Reale, M., Brown, J.
Format:	Journal Article
Published:	2012
Online Access:	http://hdl.handle.net/20.500.11937/25456

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