Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
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DOI: 10.1111/j.1467-9892.2005.00399.x
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References listed on IDEAS
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- Graves, Timothy & Franzke, Christian L.E. & Watkins, Nicholas W. & Gramacy, Robert B. & Tindale, Elizabeth, 2017. "Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 60-71.
- P. S. Sephton, 2010. "Unit roots and purchasing power parity: another kick at the can," Applied Economics, Taylor & Francis Journals, vol. 42(27), pages 3439-3453.
- Ayache, Antoine & Hamonier, Julien, 2012. "Linear fractional stable motion: A wavelet estimator of the α parameter," Statistics & Probability Letters, Elsevier, vol. 82(8), pages 1569-1575.
- Jaesik Jeong & Marina Vannucci & Kyungduk Ko, 2013. "A Wavelet-Based Bayesian Approach to Regression Models with Long Memory Errors and Its Application to fMRI Data," Biometrics, The International Biometric Society, vol. 69(1), pages 184-196, March.
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