Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
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Publication:3604092
DOI10.1080/02664760601004874zbMath1157.62059MaRDI QIDQ3604092
Mohamed Boutahar, Vêlayoudom Marimoutou, Leïla Nouira
Publication date: 24 February 2009
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02664760601004874
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M09: Non-Markovian processes: estimation
65C05: Monte Carlo methods
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Uses Software
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