Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
| Author details: | Timothy Graves, Christian L. E. Franzke, Nicholas W. Watkins, Robert B. Gramacy, Elizabeth Tindale |
|---|---|
| DOI: | https://doi.org/10.1016/j.physa.2017.01.028 |
| ISSN: | 0378-4371 |
| ISSN: | 1873-2119 |
| Title of parent work (English): | Physica : europhysics journal ; A, Statistical mechanics and its applications |
| Publisher: | Elsevier |
| Place of publishing: | Amsterdam |
| Publication type: | Article |
| Language: | English |
| Year of first publication: | 2017 |
| Publication year: | 2017 |
| Release date: | 2020/04/20 |
| Tag: | ARFIMA; Bayesian estimation; Heavy-tails; Long-range dependence |
| Volume: | 473 |
| Number of pages: | 12 |
| First page: | 60 |
| Last Page: | 71 |
| Funding institution: | German Research Foundation (DFG) through the cluster of excellence CliSAP [EXC177, SFB/TRR181, FR3515/3-1]; Norwegian Research Council [229754]; London Mathematical Laboratory, Office of Naval Research at Warwick [NICOP-N62909-15-1-N143]; STFC [ST/N504506/1]; London Mathematical Laboratory, Office of Naval Research at Warwick at Potsdam [NICOP-N62909-15-1-N143] |
| Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Physik und Astronomie |
| Peer review: | Referiert |
