The empirical properties of some popular estimators of long memory processes
The empirical properties of 12 different estimators of the Hurst parameter, H, or fractional integration parameter, d, derived via simulation, are presented. For time series with fewer than 4,000 observations only the Whittle and Haslett-Raftery estimators produce acceptable statistical properties.
| Main Authors: | , , , |
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| Format: | Conference Paper |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/41212 |
| _version_ | 1848756082232524800 |
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| author | Rea, W. Oxley, Leslie Reale, M. Brown, J. |
| author_facet | Rea, W. Oxley, Leslie Reale, M. Brown, J. |
| author_sort | Rea, W. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The empirical properties of 12 different estimators of the Hurst parameter, H, or fractional integration parameter, d, derived via simulation, are presented. For time series with fewer than 4,000 observations only the Whittle and Haslett-Raftery estimators produce acceptable statistical properties. |
| first_indexed | 2025-11-14T09:06:32Z |
| format | Conference Paper |
| id | curtin-20.500.11937-41212 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:06:32Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-412122017-01-30T14:49:10Z The empirical properties of some popular estimators of long memory processes Rea, W. Oxley, Leslie Reale, M. Brown, J. The empirical properties of 12 different estimators of the Hurst parameter, H, or fractional integration parameter, d, derived via simulation, are presented. For time series with fewer than 4,000 observations only the Whittle and Haslett-Raftery estimators produce acceptable statistical properties. 2011 Conference Paper http://hdl.handle.net/20.500.11937/41212 restricted |
| spellingShingle | Rea, W. Oxley, Leslie Reale, M. Brown, J. The empirical properties of some popular estimators of long memory processes |
| title | The empirical properties of some popular estimators of long memory processes |
| title_full | The empirical properties of some popular estimators of long memory processes |
| title_fullStr | The empirical properties of some popular estimators of long memory processes |
| title_full_unstemmed | The empirical properties of some popular estimators of long memory processes |
| title_short | The empirical properties of some popular estimators of long memory processes |
| title_sort | empirical properties of some popular estimators of long memory processes |
| url | http://hdl.handle.net/20.500.11937/41212 |