Preliminary estimation of ARFIMA models
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Cites work
- A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Computer Generation of Normal Random Variables
- Efficient parameter estimation for self-similar processes
- Fractional differencing
- scientific article; zbMATH DE number 795280 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Cited in
(6)- Time series clustering and classification by the autoregressive metric
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
- Parameter estimation for ARTFIMA time series
- Indirect inference for fractional time series models
- The autoregressive metric for comparing time series models
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