A new time-varying model for forecasting long-memory series
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Publication:2664998
DOI10.1007/s10260-020-00517-7zbMath1481.62055arXiv1812.07295OpenAlexW3009377727MaRDI QIDQ2664998
Matteo Grigoletto, Luisa Bisaglia
Publication date: 18 November 2021
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1812.07295
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
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