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Penalised maximum likelihood estimation for fractional Gaussian processes |
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| Authors: | Lieberman Offer |
| Affiliation: | 1 Faculty of Industrial Engineering and Management, Technion—Israel Institute of Technology, Haifa 32000, Israelofferl{at}ie.technion.ac.il |
| Abstract: | |
| Keywords: | Approximate modification ARFIMA Firth's formula Fractional differencing |
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