Robust Wavelet-Domain Estimation of the Fractional Difference Parameter in Heavy-Tailed Time Series: An Empirical Study
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DOI: 10.1007/s11009-008-9105-3
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Cited by:
- Hongchang Hu & Weifu Hu & Xinxin Yu, 2021. "Pseudo-maximum likelihood estimators in linear regression models with fractional time series," Statistical Papers, Springer, vol. 62(2), pages 639-659, April.
- Heni Boubaker, 2020. "Wavelet Estimation Performance of Fractional Integrated Processes with Heavy-Tails," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 473-498, February.
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Keywords
Fractional difference; Heavy tails; Trend; Wavelets;All these keywords.
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