SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL

DOI10.1017/S0266466600162048MaRDI QIDQ4512680zbMATH OpenOpenAlexFDO

Authors Offer Lieberman, Judith Rousseau, David M. Zucker

Publication date 29 March 2001

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466600162048

zbMATH Keywords

ARFIMA modelsBartlett correctionfractional differencefractionally integrated moving averagelikelihood ratio testssimulations

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(6)

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• Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
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• Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
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