2009/01/07 by William Rea, Les Oxley, Rea, William +5 · 4 citations
Economics, Econometrics and Finance · Environmental Science · Mathematics · #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Hydrology and Drought Analysis #Methodology (stat.ME) #stat.ME
paper · pdf · doi:10.48550/arxiv.0901.0762
Submitted to the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics (http://www.imstat.org)
arxiv created 2009/01/07 · openalex publication_date 2009/01/07 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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. We compare and contrast their performance on simulated Fractional Gaussian Noises and fractionally integrated series with lengths between 100 and 10,000 data points and H values between 0.55 and 0.90 or d values between 0.05 and 0.40. We apply all 12 estimators to the Campito Mountain data and estimate the accuracy of their estimates using the Beran goodness of fit test for long memory time series. MCS code: 37M10