Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
نویسندگان
چکیده
We discuss computational aspects of likelihood-based estimation of univariate ARFIMA(p, d, q) models. We show how efficient computation and simulation is feasible, even for large samples. We also discuss the implementation of analytical bias corrections.
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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 42 شماره
صفحات -
تاریخ انتشار 2003