Indirect estimation of ARFIMA and VARFIMA models (Q1808561)

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scientific article
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Indirect estimation of ARFIMA and VARFIMA models
scientific article

    Statements

    title
    Indirect estimation of ARFIMA and VARFIMA models (English)
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    author
    Vance L. Martin
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    Nigel P. Wilkins
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    publication date
    21 August 2000
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    zbMATH Keywords
    fractional integration
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    persistence
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    long memory
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    frequency domain
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    multivariate ARFIMA
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    auxiliary models
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    simulation
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    cites work
    Q4409944
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62P20
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    65C05
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    zbMATH DE Number
    1369437
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    Wikidata QID
    Q128036900
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