Estimators for Long Range Dependence: An Empirical Study

jennifer.brown@cantebury.ac.nzAbstract:We present the results of a simulation study into the properties of 12different estimators of the Hurst parameter, H, or the fractional integra-tion parameter, d, in long memory time series. We compare and contrasttheir performance on simulated Fractional Gaussian Noises and fractionallyintegrated series with lengths between 100 and 10,000 data points and Hvalues between 0.55 and 0.90 or d values between 0.05 and 0.40. We applyall 12 estimators to the Campito Mountain data and estimate the accuracyof their estimates using the Beran goodness of fit test for long memory timeseries.MCS code: 37M10Keywords and phrases: Strong dependence, Global dependence, Longrange dependence, Hurst parameter estimators.

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