Browsing Documentos indexados pela Scopus by Subject "Monte Carlo, Método de"

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Effects of temporal aggregation on estimates and forecasts of fractionally integrated processes: A Monte-Carlo study

Souza, Leonardo R.; Smith, Jeremy
2004

For a fractionally integrated ARFIMA(p, d, q) model, temporal aggregation changes the order of the process to an ARFIMA(p, d,∞), while leaving the value of d unchanged. This paper analyses the effects of temporal aggregation ...