Maximum likelihood estimation of ARFIMA models with a Box-Cox transformation

DOI10.1007/S10260-003-0064-0zbMath1056.62095OpenAlexW186622899WikidataQ126571576 ScholiaQ126571576MaRDI QIDQ1767008

Domenico Piccolo, Angela D'Elia

Publication date: 3 March 2005

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-003-0064-0

zbMATH Keywords

Box-Cox transformationARFIMA modelsNormalized Whittle likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05) Iterative numerical methods for linear systems (65F10)

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