Detection of long-range dependence and estimation of fractal exponents through ARFIMA modelling.

@article{Torre2007DetectionOL,
  title={Detection of long-range dependence and estimation of fractal exponents through ARFIMA modelling.},
  author={Kjerstin Torre and Didier Deligni{\`e}res and Lo{\"i}c Lemoine},
  journal={The British journal of mathematical and statistical psychology},
  year={2007},
  volume={60 Pt 1},
  pages={
          85-106
        }
}
We evaluate the performance of autoregressive, fractionally integrated, moving average (ARFIMA) modelling for detecting long-range dependence and estimating fractal exponents. More specifically, we test the procedure proposed by Wagenmakers, Farrell, and Ratcliff, and compare the results obtained with the Akaike information criterion (AIC) and the Bayes information criterion (BIC). The present studies show that ARFIMA modelling is able to adequately detect long-range dependence in simulated… 

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