Estimation of fractional integration in the presence of data noise

Computational Statistics and Data Analysis

Volumn 51, Issue 6, 2007, Pages 3100-3114

  Haldrup, Niels ^a   Nielsen, Morten Ørregaard ^b  

^a AARHUS UNIVERSITY   (Denmark)

^b Cornell University ^*  (United States)

Author keywords

Fractional integration; Long memory; Measurement errors; Outliers; Structural change

Indexed keywords

COMPUTER SIMULATION; DATA STORAGE EQUIPMENT; INTEGRATION; MAXIMUM LIKELIHOOD ESTIMATION; MEASUREMENT ERRORS; PARAMETER ESTIMATION; SPURIOUS SIGNAL NOISE;

DATA NOISE; MACROECONOMIC DATA;

DATA REDUCTION;

EID: 33846622469     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.02.005     Document Type: Article

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