The exact maximum likelihood estimation of ARFIMA processes and model selection criteria : a Monte Carlo study
Sandrine Lardic; Valérie Mignon
| Year of publication: |
29 Apr. 2003 ; [Elektronische Ressource]
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|---|---|
| Other Persons: | Lardic, Sandrine (contributor) ; Mignon, Valérie (contributor) |
| Institutions: | Unité Mixte de Recherche Théorie Economique, Modélisation et Applications (contributor) |
| Publisher: |
Paris [u.a.] : Université Paris X-Nanterre, THEMA [u.a.] |
| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | ARMA-Modell | ARMA model | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
