Fractional Integration: Comparisons through simulations andreal world applications
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
In the following paper, we apply fractionally integrated models on simulated and empirical data sets in order to test the fractionally integrated model's fit and ability to make forecasts. The model will be evaluated compared to regular ARIMA models on data sets which resemble long-memory processes.
Place, publisher, year, edition, pages
2014. , 57 p.
Other Social Sciences not elsewhere specified
IdentifiersURN: urn:nbn:se:uu:diva-216825OAI: oai:DiVA.org:uu-216825DiVA: diva2:691026
Subject / course