First-order bias correction for fractionally integrated time series

DOI10.1002/cjs.10022zbMath1177.62109OpenAlexW2070572068MaRDI QIDQ3645634

Jaechoul Lee, Kyungduk Ko

Publication date: 18 November 2009

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://scholarworks.boisestate.edu/cgi/viewcontent.cgi?article=1007&context=math_facpubs

zbMATH Keywords

tableslong memoryARFIMAsample autocorrelations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Related Items

A New Test for Short Memory in Long Memory Time Series, Bias Correction of Persistence Measures in Fractionally Integrated Models

Uses Software

• longmemo

Cites Work

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