Fitting non-Gaussian persistent data

DOI10.1002/asmb.847zbMath1306.62202OpenAlexW2143087278MaRDI QIDQ2862418

Mauricio Zevallos, Wilfredo Palma

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/127583

zbMATH Keywords

predictionpersistencequasi-maximum likelihoodlong-range dependenceconditional varianceARFIMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to environmental and related topics (62P12) Economic time series analysis (91B84) Geostatistics (86A32)

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