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A Comparative Study for Estimate Fractional Parameter of ARFIMA Model
Journal of Economics and Administrative Sciences
Long memory analysis is one of the most active areas in econometrics and time series where various methods have been introduced to identify and estimate the long memory parameter in partially integrated time series. One of the most common models used to represent time series that have a long memory is the ARFIMA (Auto Regressive Fractional Integration Moving Average Model) which diffs are a fractional number called the fractional parameter. To analyze and determine the ARFIMA model, the fractaldoi:10.33095/jeas.v28i133.2359 fatcat:yzwlbwkrjralbp4wtydsz2hfiy