Bias Correction of Persistence Measures in Fractionally Integrated Models

DOI10.1111/jtsa.12116zbMath1329.62377arXiv1312.4675OpenAlexW1600929600MaRDI QIDQ3192403

Gael M. Martin, Simone D. Grose, D. S. Poskitt

Publication date: 12 October 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4675

zbMATH Keywords

sieve bootstrapARFIMAimpulse response functionlong-memorysample autocorrelation functionbootstrap-based bias correction

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Uses Software

• longmemo

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