ARFIMA

swMATH9503MaRDI QIDQ21484

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Related Items (19)

Efficient inference in multivariate fractionally integrated time series models ⋮ Asymptotic inference results for multivariate long‐memory processes ⋮ A permanent-transitory decomposition for ARFIMA processes ⋮ Variable selection in time series forecasting using random forests ⋮ ARFIMAX and ARFIMAX-TARCH realized volatility modeling ⋮ EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS ⋮ Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ Climate time series analysis. Classical statistical and bootstrap methods ⋮ Generating univariate fractional integration within a large VAR(1) ⋮ Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration ⋮ Overlaying Time Scales in Financial Volatility Data ⋮ Type I and type II fractional Brownian motions: a reconsideration ⋮ The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size ⋮ Biases in the simulation and analysis of fractal processes ⋮ Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation ⋮ Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence ⋮ Estimation of fractional integration in the presence of data noise ⋮ Nonlinearities in the exchange rates returns and volatility

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