I try to realize my ARFIMA model identification script in R. I try to find the best method for unbiased Hurst exponent estimation (fractional difference parameter could be found as Hurst - 0.5) via testing different methods on different models with AR, MA, Dfrac parameters. And each library I use gives me strange results for complicated models like this: AR = c(0.8, -0.1, -0.1), MA = c(-0.6, -0.2) and different Dfrac parameter. None of this libraries give me near the correct estimated value. Most difference I get with Dfrac < 0. Most of methods gives me Hurst value > 1 for stationary (for Dint) models. I have 2 questions: 1) Why do I have strange results for complicated models with most of methods (from different libraries like LrdModelling, WaveLetLongMemory, fractal, etc). 2) What's the best library for Dfrac calculation for short time series (N ~ 100)?

Thank you.


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