When long memory meets the Kalman filter: A comparative study
Year of publication: |
2014
|
---|---|
Authors: | Grassi, Stefano ; Santucci de Magistris, Paolo |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 301-319
|
Publisher: |
Elsevier |
Subject: | ARFIMA models | State space | Missing observations | Measurement error | Level shifts |
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