Procedures for ARFIMA
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Procedures for ARFIMA
by sbriggs » Sat Jul 07, 2012 12:47 pm
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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Re: Procedures for ARFIMA
by moderator » Sat Jul 07, 2012 7:49 pm
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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