Indirect estimation of ARFIMA and VARFIMA models (Q1808561)
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scientific article; zbMATH DE number 1369437
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| English | Indirect estimation of ARFIMA and VARFIMA models |
scientific article; zbMATH DE number 1369437 |
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Indirect estimation of ARFIMA and VARFIMA models (English)
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21 August 2000
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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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0.8874830603599548
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0.7967002391815186
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0.7918388247489929
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0.7913123369216919
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