Estimation of parameters in arfima processes: A simulation study

Communications in Statistics Part B: Simulation and Computation

Volumn 30, Issue 4, 2001, Pages 787-803

  Reisen, Valderio ^a   Abraham, Bovas ^a  

^a FEDERAL UNIVERSITY OF ESPÍRITO SANTO   (Brazil)

Author keywords

Fractional differencing; Long memory; Periodogram regression; Smoothed periodogram regression; Whittle maximum likelihood procedure

Indexed keywords

EID: 33749205139     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAC-100107781     Document Type: Article

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