Correlated Errors in the Parameters Estimation of the ARFIMA Model: A Simulated Study

DOI10.1080/03610910600716928zbMath1102.62099OpenAlexW2015116483MaRDI QIDQ5481748

Sílvia R. C. Lopes, Manoel R. jun. Sena, Valdério Anselmo Reisen

Publication date: 10 August 2006

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910600716928

zbMATH Keywords

tablesfractional differencinglong memory and GARCH models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General considerations in statistical decision theory (62C05)

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Uses Software

• Ox

Cites Work

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