Augmented Half‐Life Estimation Based on High‐Frequency Data

DOI10.1002/for.2342zbMath1365.62355OpenAlexW1789468683WikidataQ60729229 ScholiaQ60729229MaRDI QIDQ5272544

Mao-Lung Huang, Kuo-Chin Lin, Shu-Yi Liao

Publication date: 30 June 2017

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2342

zbMATH Keywords

sunspotsARMA modellag lengthspeed of mean reversion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to physics (62P35) Approximation algorithms (68W25)

Cites Work

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• Additional sources of bias in half-life estimation
• Regression and time series model selection in small samples
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models

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