In this article we propose a preliminary estimator for the parameters of an ARFIMA(p,d,q) model. The estimation procedure is based on the search of the element in the class of ARFIMA models closest to the estimated ARMA model which best fits the observed time series.
CITATION STYLE
Corduas, M. (2000). Preliminary estimation of ARFIMA models. In COMPSTAT (pp. 247–252). Physica-Verlag HD. https://doi.org/10.1007/978-3-642-57678-2_28
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