Monte Carlo comparison of 35 setups for estimating d in ARFIMA models with 10-70% missing data under varied dependence levels.
Assume that the copula related to ( X0, Xk) is Cθk, where {θk}k∈N∗ is a sequence in D satisfying lim n→∞ θn = a
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Estimation of Long-Range Dependent Models with Missing Data: to Impute or not to Impute?
Monte Carlo comparison of 35 setups for estimating d in ARFIMA models with 10-70% missing data under varied dependence levels.