Identification and validation of stable ARFIMA processes with application to UMTS data
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Publication:1677799
DOI10.1016/j.chaos.2017.03.059zbMath1492.62130OpenAlexW2604329927MaRDI QIDQ1677799
Krzysztof Burnecki, Grzegorz Sikora
Publication date: 13 November 2017
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2017.03.059
Infinitely divisible distributions; stable distributions (60E07) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (3)
Testing the equality of the laws of two strictly stationary processes ⋮ Order flow in the financial markets from the perspective of the fractional Lévy stable motion ⋮ Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions
Uses Software
Cites Work
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