Procedures for ARFIMA

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sbriggs
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Joined: Mon Mar 19, 2012 10:44 pm

Procedures for ARFIMA

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Are there any procedures which can estimate ARFIMA models where the time series differencing is in the range 0<d<1?
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moderator
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Re: Procedures for ARFIMA

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That's covered in the version 8 User's Guide in Section 14.10 and example 14.3. There are also examples in the Willinger, Taqqu and Teverovsky replication.
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