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- W1531724940 abstract "We consider the nonstationary fractional model Delta^d Xt = epsilon t with epsilon t i.i.d.(0;sigma^2) and d > 1/2. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial values, and we discuss the role of the initial values for the bias. The results are partially extended to other fractional models, and three different applications of the theoretical results are given." @default.
- W1531724940 created "2016-06-24" @default.
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- W1531724940 date "2012-01-01" @default.
- W1531724940 modified "2023-10-18" @default.
- W1531724940 title "The Role of Initial Values in Nonstationary Fractional Time Series Models" @default.
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- W1531724940 doi "https://doi.org/10.2139/ssrn.2175574" @default.
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