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Asymptotics of trend stationary fractionally integrated ARMA models

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Abstract:

The main contribution of this study is to provide asymptotic results for MLE applied to the trend stationary ARFIMA model and to implement a detailed simulation study. For small sample sizes, the bias for the fractional parameter, d, can be quite substantial when the other parameters are also estimated simultaneously.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/000368400418916

Publication date: October 10, 2000

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