Issues in the estimation of mis-specified models of fractionally integrated processes (Q2182145)
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scientific article
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| English | Issues in the estimation of mis-specified models of fractionally integrated processes |
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Issues in the estimation of mis-specified models of fractionally integrated processes (English)
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21 May 2020
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long memory models
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ARFIMA
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pseudo-true parameter
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frequency domain estimators
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time domain estimators
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mis-specified short memory dynamics
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0.867181122303009
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0.8045585751533508
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0.8025274872779846
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0.784111499786377
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0.7765064239501953
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