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 |
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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 |