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Methods for Fitting and Simulating Non-Stationary ARFIMA Models

Benjamin Groebe

Last update: 6 August 2020

Copyright license: GNU General Public License

Software version identifier: 0.2.0.0

Cites work

• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• Maximum Likelihood Estimation of the Differencing Parameter for Invertible Short and Long Memory Autoregressive Integrated Moving Average Models

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