Re: [S] ARFIMA-estimators

Jiahui Wang (jwang@statsci.com)
Fri, 04 Sep 1998 09:57:55 -0700


At 03:40 PM 9/4/98 +0200, Marco Hell wrote:
>Dear all,
>
>I'm interested to estimate an ARFIMA-model. Has anybody a Sourcecode to
>estimate the short and long memory parameters. Because of working with
>long time series an approximation of the exact ML like Fox/Taqqu or
>Jensen will be nice. If anyone has a RATS code it will also be nice.
>
Sowell's FORTRAN code for exact ML is available at
http://fastwell.gsia.cmu.edu/, and Ooms' OX code is available at
http://www.eur.nl/few/eb/faculty/ooms/#programs. Good luck.

Jiahui Wang

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