most citedOptimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach

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math.ST2014

Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes

Gael M. Martin, Kanchana Nadarajah, D. S. Poskitt

We provide a comprehensive set of new results on the impact of mis-specifying the short run dynamics in fractionally integrated processes. We show that four alternative parametric…