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- W2099706579 abstract "A pseudo-linear method for the estimation of fractionally integrated ARMA (ARFIMA) models is introduced. The method uses a long binomial series expansion of the fractional differencing operator, as well as the relationship of the AR/MA parameters and binomial expansion terms with the model's inverse function. It is based upon a pseudo-linear formulation motivated by the fact that this relationship leads to a special-form regression problem that can be decomposed into a scalar non-linear and a multiple linear regression. The performance characteristics of the method are demonstrated via Monte Carlo experiments and comparisons with the frequency-domain maximum likelihood method." @default.
- W2099706579 created "2016-06-24" @default.
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- W2099706579 date "2002-12-23" @default.
- W2099706579 modified "2023-09-24" @default.
- W2099706579 title "A pseudo-linear method for fractionally integrated ARMA (ARFIMA) model estimation" @default.
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- W2099706579 doi "https://doi.org/10.1109/ssap.1996.534868" @default.
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