Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models

DOI10.1016/j.physa.2017.01.028zbMath1400.62176OpenAlexW2569273943MaRDI QIDQ1620525

Timothy Graves, Elizabeth Tindale, Christian L. E. Franzke, Nicholas W. Watkins, Robert B. Gramacy

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/68837/1/Watkins_systematic%20interference.pdf

zbMATH Keywords

long-range dependenceheavy-tailsBayesian estimationARFIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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