PPMiss (Q64300)
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Copula-Based Estimator for Long-Range Dependent Processes under Missing Data
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| English | PPMiss |
Copula-Based Estimator for Long-Range Dependent Processes under Missing Data |
Statements
4 September 2023
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Implements the copula-based estimator for univariate long-range dependent processes, introduced in Pumi et al. (2023) <doi:10.1007/s00362-023-01418-z>. Notably, this estimator is capable of handling missing data and has been shown to perform exceptionally well, even when up to 70% of data is missing (as reported in <arXiv:2303.04754>) and has been found to outperform several other commonly applied estimators.
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