Estimation of Long-Range Dependent Models with Missing Data: to Impute or not to Impute?

Guilherme Pumi, Gladys Choque Ulloa, Taiane Schaedler Prass

Among the most important models for long-range dependent time series is the class of ARFIMA$(p,d,q)$ (Autoregressive Fractionally Integrated Moving Average) models. Estimating the…