Beran, Jan; Feng, Yuanhua; Ghosh, Sucharita - In: Statistical Papers 56 (2015) 2, pp. 431-451
Duration series often exhibit long-range dependence and local nonstationarities. Here, exponential FARIMA (EFARIMA) and exponential SEMIFAR (ESEMIFAR) models are introduced. These models capture simultaneously nonstationarities in the mean as well as short- and long-range dependence, while...
