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Abstract
Standard long memory models are in abundance in the literature today. Selecting the best such a model in terms of capturing key requisite features and trends in data becomes a challenge. This paper addresses the issue through a sequence of Monte Carlo experiments on simulated data and introduces an interval estimate on the asymptotic variance for the long-range dependence parameter of the entire family of standard long memory time series considered within the scope of the study.
Disclosure statement
No potential conflict of interest was reported by the author(s).
Correction Statement
This article has been corrected with minor changes. These changes do not impact the academic content of the article.
Additional information
Funding
This study was partially funded by the University Research Grant, University of Sri Jayewardenepura, Sri Lanka [grant number ASP/01/RE/HSS/2016/75].