Preliminary estimation of ARFIMA models

DOI10.1007/978-3-642-57678-2_28zbMath1455.62168OpenAlexW1001117789MaRDI QIDQ3297948

Marcella Corduas

Publication date: 21 July 2020

Published in: COMPSTAT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57678-2_28

zbMATH Keywords

long memoryARFIMA modelspreliminary estimate

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

The Autoregressive metric for comparing time series models ⋮ Time series clustering and classification by the autoregressive metric

Uses Software

• CML

Cites Work

• Unnamed Item
• Unnamed Item
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Computer Generation of Normal Random Variables

This page was built for publication: Preliminary estimation of ARFIMA models