Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes (Q6101687): Difference between revisions

Latest revision as of 18:28, 30 December 2024

scientific article; zbMATH DE number 7698956

Language	Label	Description	Also known as
English	Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes	scientific article; zbMATH DE number 7698956

Statements

instance of

scholarly article

0 references

title

Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes (English)

0 references

author

Juan Kalemkerian

0 references

published in

Journal of Statistical Planning and Inference

0 references

publication date

20 June 2023

0 references

full work available at URL

https://arxiv.org/abs/2004.10369

0 references

zbMATH Keywords

fractional Brownian motion

0 references

fractional Ornstein-Uhlenbeck process

0 references

long memory processes

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Q3179377

0 references

Q4862306

0 references

Introduction to Time Series and Forecasting

0 references

Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package

0 references

Fractional {O}rnstein-{U}hlenbeck processes

0 references

The Inverse Autocorrelations of a Time Series and Their Applications

0 references

Q4174025

0 references

Quadratic variations and estimation of the local Hölder index of a Gaussian process

0 references

A truncated Cramér–von Mises test of normality

0 references

Q4972749

0 references

On the Whittle estimators for some classes of continuous-parameter random processes and fields

0 references

Model fitting for continuous-time stationary processes from discrete-time data

0 references

Partial autocorrelation parameterization for subset autoregression

0 references

Integration questions related to fractional Brownian motion

0 references

Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation

0 references

Identifiers

arXiv ID

2004.10369

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

10.1016/J.JSPI.2022.11.004

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6101687

@@ Property / DOI @@
-.1016/j.jspi.2022.11.004
@@ Property / DOI: 10.1016/j.jspi.2022.11.004 / rank @@
-Normal rank
@@ Property / cites work @@
+Q3179377
@@ Property / cites work: Q3179377 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4862306
@@ Property / cites work: Q4862306 / rank @@
+Normal rank
@@ Property / cites work @@
+Introduction to Time Series and Forecasting
@@ Property / cites work: Introduction to Time Series and Forecasting / rank @@
+Normal rank
@@ Property / cites work @@
+Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
+Normal rank
@@ Property / cites work @@
+Fractional {O}rnstein-{U}hlenbeck processes
@@ Property / cites work: Fractional {O}rnstein-{U}hlenbeck processes / rank @@
+Normal rank
@@ Property / cites work @@
+The Inverse Autocorrelations of a Time Series and Their Applications
+Normal rank
@@ Property / cites work @@
+Q4174025
@@ Property / cites work: Q4174025 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic variations and estimation of the local Hölder index of a Gaussian process
+Normal rank
@@ Property / cites work @@
+A truncated Cramér–von Mises test of normality
@@ Property / cites work: A truncated Cramér–von Mises test of normality / rank @@
+Normal rank
@@ Property / cites work @@
+Q4972749
@@ Property / cites work: Q4972749 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Whittle estimators for some classes of continuous-parameter random processes and fields
+Normal rank
@@ Property / cites work @@
+Model fitting for continuous-time stationary processes from discrete-time data
+Normal rank
@@ Property / cites work @@
+Partial autocorrelation parameterization for subset autoregression
+Normal rank
@@ Property / cites work @@
+Integration questions related to fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
+Normal rank
@@ Property / DOI @@
+.1016/J.JSPI.2022.11.004
@@ Property / DOI: 10.1016/J.JSPI.2022.11.004 / rank @@
+Normal rank