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Fox
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How do I estimate in-sample predictions of an ARFIMA model ?

Asked by Fox
on 14 Jul 2018 at 11:14

Hello, does anybody know how to do in-sample predictions of an ARFIMA(p,d,q) model, meaning how do I get yfit and is it even possible ? The ARFIMA model I am using has the values ARFIMA(0.4,0.352,0.7). Do I need to simulate an ARFIMA process with this variables and compare it then to my true data X, which I used before to get the estimates for p,q,d??

Thanks for your help.

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