ESTIMATION OF THE FRACTIONALLY DIFFERENCING PARAMETER WITH THE R/S METHOD
Extensive computer experiments are performed to examine the finite sample behavior of the R/S analysis in case of long-term dependence. Our simulation study differs from former studies both in its design and in its size. In addition, we used a method for obtaining finite sequences of a long-term dependent process, which exactly reproduces the correlation structure of the underlying process. The results obtained show that the R/S analysis does not allow reliable estimation of the fractionally differencing parameter.
long-term dependence adjusted rescaled range arfima