Parameter estimation for ARTFIMA time series. The ARTFIMA model applies a tempered fractional difference to the standard ARMA time series. This paper develops parameter estimation methods for the ARTFIMA model, and demonstrates a new R package. Several examples illustrate the utility of the method.
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References in zbMATH (referenced in 4 articles , 1 standard article )
Showing results 1 to 4 of 4.
- Boniece, B. Cooper; Didier, Gustavo; Sabzikar, Farzad: Tempered fractional Brownian motion: wavelet estimation, modeling and testing (2021)
- De Brabanter, Kris; Sabzikar, Farzad: Asymptotic theory for regression models with fractional local to unity root errors (2021)
- Sabzikar, Farzad; Wang, Qiying; Phillips, Peter C. B.: Asymptotic theory for near integrated processes driven by tempered linear processes (2020)
- Sabzikar, Farzad; McLeod, A. Ian; Meerschaert, Mark M.: Parameter estimation for ARTFIMA time series (2019)