ARFIMA

swMATH9503MaRDI QIDQ21484FDOQ21484

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Cited In (19)

• Type I and type II fractional Brownian motions: a reconsideration
• Estimation of fractional integration in the presence of data noise
• Variable selection in time series forecasting using random forests
• Overlaying Time Scales in Financial Volatility Data
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Long memory and nonlinearities in realized volatility: a Markov switching approach
• Climate time series analysis. Classical statistical and bootstrap methods
• The exact maximum likelihood-based test for fractional cointegration: Critical values, power and size
• Biases in the simulation and analysis of fractal processes
• A permanent-transitory decomposition for ARFIMA processes
• ARFIMAX and ARFIMAX-TARCH realized volatility modeling
• Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
• EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS
• Generating univariate fractional integration within a large VAR(1)
• Semiparametric Estimation in Time‐Series Regression with Long‐Range Dependence
• Asymptotic inference results for multivariate long‐memory processes
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• Efficient inference in multivariate fractionally integrated time series models
• Nonlinearities in the exchange rates returns and volatility

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