<P ALIGN=RIGHT><FONT SIZE=+4>86</FONT><P>
Estimators for long-range dependence: an empirical study
Murad S. Taqqu
Various methods for estimating the self-similarity parameter
the intensity of long-range dependence in a time series are available.
Some are more reliable than others. To discover the ones that work
best, we apply the different methods to
simulated sequences of fractional Gaussian noise and
fractional ARIMA. We also provide here a theoretical
justification for the method of residuals of regression.