We analyze by simulation the properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). The estimators considered are the exact maximum likelihood for demeaned data, EML, the associated...

In this paper, it is proposed to modify autoregressive fractionally integrated moving average (ARFIMA) processes by introducing an additional parameter to comply with the criticism of Hauser et al . (1999) that ARFIMA processes are not appropriate for the estimation of persistence, because of...

This paper proposes a modification of an optimal test for cycles in multiple time series and applies it to test the hypothesis that there is a relationship between stock returns and the phases of the moon. No significant relationship is found, which is in line with the evidence from descriptive...

This paper extends an optimal frequency domain test for the detection of synchronous patterns in multiple time series to the case of fuzzy patterns, which are not confined to single frequencies or narrow frequency bands. Applying this extension to corn futures with different delivery dates, we...