Fitting non-Gaussian persistent data

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

zbMATH Keywords

prediction; persistence; quasi-maximum likelihood; long-range dependence; conditional variance; ARFIMA models

Mathematics Subject Classification ID

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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