Convergence of integrated superpositions of Ornstein-Uhlenbeck processes to fractional Brownian motion (Q3368564): Difference between revisions

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-Q203510
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+Nikolai N. Leonenko
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+https://doi.org/10.1080/17442500500409460
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+W2047673419
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+On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
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+Processes of normal inverse Gaussian type
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+Superposition of Ornstein--Uhlenbeck Type Processes
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+Some stationary processes in discrete and continuous time
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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+Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
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+Long memory relationships and the aggregation of dynamic models
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+LONG-RANGE DEPENDENCE, NON-LINEARITY AND TIME IRREVERSIBILITY
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+Long memory in continuous-time stochastic volatility models
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+Weak convergence to fractional brownian motion and to the rosenblatt process
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+Convergence of integrated processes of arbitrary Hermite rank
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+Estimation of the mean of stationary and nonstationary Ornstein-Uhlenbeck processes and sheets
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+Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
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+Large deviations in estimation of an Ornstein-Uhlenbeck model
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+Parameter estimation with exact distribution for multidimensional Ornstein-Uhlenbeck processes
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+Publication:3368564