Sample size and accuracy of estimation of the fractional differencing parameter

Methodology

Volumn 2, Issue 4, 2006, Pages 135-141

  Stadnytska, Tetiana ^a   Werner, Joachim ^a  

^a UNIVERSITY OF HEIDELBERG   (Germany)

Author keywords

ARFIMA models; Fractional integration; Long memory; Monte Carlo experiments; Time series

Indexed keywords

EID: 68949206327     PISSN: 16141881     EISSN: 16142241     Source Type: Journal    
DOI: 10.1027/1614-2241.2.4.135     Document Type: Article

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