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- W2335525040 abstract "We consider fractional Brownian motion and FARIMA process with Gaussian innovations and show that the suitably scaled distributions of the FARIMA processes converge to fractional Brownian motion in the sense of finite dimensional distributions. We figure out ACF function and estimate the self-similarity parameter H of FARIMA(0, d, 0) by using R/S method. Finally, we display power spectrum density of FARIMA process." @default.
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- W2335525040 date "2015-01-30" @default.
- W2335525040 modified "2023-09-26" @default.
- W2335525040 title "PARAMETER ESTIMATION AND SPECTRUM OF FRACTIONAL ARIMA PROCESS" @default.
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- W2335525040 doi "https://doi.org/10.14317/jami.2015.203" @default.
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