Indirect estimation of ARFIMA and VARFIMA models
type: Item
instance of: scholarly article
title: Indirect estimation of ARFIMA and VARFIMA models
zbMATH Open document ID: 0942.62106
DOI: 10.1016/S0304-4076(99)00007-X
author: Vance Martin
author: Nigel P. Wilkins
published in: Journal of Econometrics
publication date: 2000-08-21T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 1369437
zbMATH Keywords: fractional integration
zbMATH Keywords: persistence
zbMATH Keywords: long memory
zbMATH Keywords: frequency domain
zbMATH Keywords: multivariate ARFIMA
zbMATH Keywords: auxiliary models
zbMATH Keywords: simulation
MaRDI profile type: Publication
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Wikidata QID: Q128036900
description: scientific article; zbMATH DE number 1369437