English, Article edition: ARFSIM: RATS module to simulate ARFIMA(0,d,0) fractionally integrated series Rob Schoen

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Bookmark: http://trove.nla.gov.au/version/102073
Physical Description
  • code
Language
  • English

Edition details

Title
  • ARFSIM: RATS module to simulate ARFIMA(0,d,0) fractionally integrated series
Author
  • Rob Schoen
Physical Description
  • code
Notes
  • arfsim.src simulates the ARFIMA(0,d,0) model with unit innovation variance. Uses Davies and Harte Method (see Beran p 216-217).
  • long memory, fractional integration
  • RePEc:boc:bocode:r940902
Language
  • English
Contributed by
OAIster

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