Identification and validation of stable ARFIMA processes with application to UMTS data

DOI10.1016/j.chaos.2017.03.059zbMath1492.62130OpenAlexW2604329927MaRDI QIDQ1677799

Krzysztof Burnecki, Grzegorz Sikora

Publication date: 13 November 2017

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.03.059

zbMATH Keywords

long memorystable distributionARFIMA processUMTS data

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Testing the equality of the laws of two strictly stationary processes ⋮ Order flow in the financial markets from the perspective of the fractional Lévy stable motion ⋮ Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions

Uses Software

• itsmr
• longmemo
• plfit

Cites Work

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