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- W2620454858 abstract "Inference for ARFIMA processes is more complicated than that for ordinary ARMA models. This has limited the application of these processes in the practice of modelling economic time series. In this paper, a procedure of indirect estimation for fractionally integrated processes is proposed and discussed. A Monte Carlo experiment shows that indirect estimators are not inferior to other estimators proposed in the literature, and could provide a reliable framework for extending fractionally integrated models in new directions and widen their applicability." @default.
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- W2620454858 date "1998-06-01" @default.
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- W2620454858 title "Indirect Inference for ARFIMA Processes" @default.
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- W2620454858 doi "https://doi.org/10.1016/s1474-6670(17)40490-3" @default.
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