Fitting non-Gaussian persistent data
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Publication:2862418
DOI10.1002/asmb.847zbMath1306.62202MaRDI QIDQ2862418
Mauricio Zevallos, Wilfredo Palma
Publication date: 15 November 2013
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10533/127583
prediction; persistence; quasi-maximum likelihood; long-range dependence; conditional variance; ARFIMA models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62P12: Applications of statistics to environmental and related topics
91B84: Economic time series analysis
86A32: Geostatistics
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