1999•International Review of Financial AnalysisRequires access

Estimation of the ARFIMA (p, d, q) fractional differencing parameter (d) using the classical rescaled adjusted range technique

Craig Ellis

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Key concepts: Autoregressive fractionally integrated moving average, Hurst exponent, Mathematics, Rescaled range, Series (stratigraphy), Moving average, Range (aeronautics), Autoregressive–moving-average model