Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models

DOI10.1016/J.PHYSA.2017.01.028MaRDI QIDQ1620525zbMATH OpenOpenAlexFDO

Authors Timothy Graves, Christian L. E. Franzke, Nicholas W. Watkins, Robert B. Gramacy, Elizabeth Tindale

Publication date 13 November 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/68837/1/Watkins_systematic%20interference.pdf

zbMATH Keywords

ARFIMABayesian estimationheavy-tailslong-range dependence

Mathematics Subject Classification ID

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

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Cited in

(2)

• Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data
• Modelling heavy tails and asymmetry using ARCH-type models with stable Paretian distri\-bu\-tions

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