Rea, William; Oxley, Les; Reale, Marco; Brown, Jennifer - In: Mathematics and Computers in Simulation (MATCOM) 93 (2013) C, pp. 29-42
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...