The empirical properties of some popular estimators of long memory processes
Chan, F., Marinova, D. and Anderssen, R.S. (eds) MODSIM2011, 19th International Congress on Modelling and Simulation.2011
Citations Over TimeTop 10% of 2011 papers
William Rea, Les Oxley, Marco Reale, Jennifer Brown, C Fraley, F Leisch, M Maechler, V Reisen, A Lemonte, J Geweke, S Porter-Hudak, C Granger, R Joyeux, J Haslett, A Raftery, T Higuchi, J Hosking, H.-D Jeong, J.-S Lee, D Mcnickle, K Pawlikowski, B Mandelbrot, J Van Ness, C Peng, S Buldyrev, M Simons, H Stanley, A Goldberger, M Taqqu, V Teverovsky, W Willinger, D Wuertz
Abstract
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.
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