This paper derives second-order expansions for the distributions of the Whittle and profile plug-in maximum likelihood estimators of the fractional difference parameter in the ARFIMA(0,d,0) with unknown mean and variance. Both estimators are shown to be second-order pivotal. This extends earlier...

In this study, we propose a new bootstrap strategy to obtain prediction intervals for autoregressive integrated moving-average processes. Its main advantage over other bootstrap methods previously proposed for autoregressive integrated processes is that variability due to parameter estimation...