Not all estimators are born equal: The empirical properties of some estimators of long memory
Year of publication: |
2013
|
---|---|
Authors: | Rea, William ; Oxley, Les ; Reale, Marco ; Brown, Jennifer |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 93.2013, C, p. 29-42
|
Publisher: |
Elsevier |
Subject: | Strong dependence | Global dependence | Long range dependence | Hurst parameter estimators |
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