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Comparaison of Several Estimation Procedures for Long Term Behavior
Dominique Guegan1, 2, Zhiping Lu3, Beijia Zhu1, 3

In this paper, nine memory parameter estimation procedures for the fractionally integrated I(d) process, semi-parametric and parametric, which prevail in the existing literature are reviewed ; through the simulation study under the ARFIMA (p,d,q) setting we cast a light on the finite sample performance of these estimation procedures for the non-stationary long memory time series. As a by-product of this study, we provide a bandwidth parameter selection strategy for the frequency domain estimation and an upper-and-lower scale trimming strategy for the wavelet domain estimation from a practical stand-point. The other objective of this paper is to give a useful reference to the applied reserachers and practitioners.
1:  CES - Centre d'économie de la Sorbonne
2:  EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics
3:  ECNU
Axe Finance
Long memory processes – wavelets – Monte Carlo simulations.