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Add a univariate MA model

Open bashtage opened this issue 7 years ago • 2 comments

Add a pure moving average model for the mean.

bashtage avatar Jan 05 '17 10:01 bashtage

Why not add a general ARFIMA(p,q) model just as it is done in rugrach in R?

vchernat avatar Dec 10 '17 16:12 vchernat

@vchernat I don't generally see much of a point in ARFIMA in the types of data I am interested in. It is also relatively difficult to write reliable estimators that work well across a wide range of data for the full ARFIMA with ARCH-errors IME.

bashtage avatar Dec 11 '17 22:12 bashtage