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High-Performance Tool for
the Test of Long-Memory
and Self-Similarity
Julio Ramírez-Pacheco, Deni Torres-Román,
HomeroToral-Cruz, and Leopoldo Estrada Vargas
ABSTRACT
A novel high-performance software tool for the test of long-memory and self-similarity analysis is
presented. Its performance and robustness are compared with a well-known software tool (Sels)
using synthetic self-similar time series. Based on a thorough study and, in some cases, algorithm
implementation study, it is shown that the tool presents better accuracy and robustness than Sels
in the fGn and f-ARIMA(0, d, 0) case. Its wide range of additional methodologies, ease of ...