Long Range Dependence Eeects and Arch Modelling
نویسنده
چکیده
منابع مشابه
Detection of long-range dependence and estimation of fractal exponents through ARFIMA modelling.
We evaluate the performance of autoregressive, fractionally integrated, moving average (ARFIMA) modelling for detecting long-range dependence and estimating fractal exponents. More specifically, we test the procedure proposed by Wagenmakers, Farrell, and Ratcliff, and compare the results obtained with the Akaike information criterion (AIC) and the Bayes information criterion (BIC). The present ...
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