The effect of round-off error on long memory processes

DOI10.1515/snde-2013-0011zbMath1329.62382arXiv1107.4476OpenAlexW3121780775MaRDI QIDQ905390

Fabrizio Lillo, Gabriele La Spada

Publication date: 19 January 2016

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.4476

zbMATH Keywords

round-off errorlong memory processesdetrended fluctuation analysismeasurement errorlocal Whittle estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Roundoff error (65G50)

Related Items (1)

Modeling the coupled return-spread high frequency dynamics of large tick assets

Uses Software

• longmemo

Cites Work

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