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

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scientific article; zbMATH DE number 7698956

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English	Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes	scientific article; zbMATH DE number 7698956

Statements

instance of

scholarly article

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title

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

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author

Juan Kalemkerian

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published in

Journal of Statistical Planning and Inference

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publication date

20 June 2023

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full work available at URL

https://arxiv.org/abs/2004.10369

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zbMATH Keywords

fractional Brownian motion

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fractional Ornstein-Uhlenbeck process

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long memory processes

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Introduction to Time Series and Forecasting

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

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Fractional {O}rnstein-{U}hlenbeck processes

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The Inverse Autocorrelations of a Time Series and Their Applications

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Q4174025

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

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A truncated Cramér–von Mises test of normality

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Q4972749

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

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

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Partial autocorrelation parameterization for subset autoregression

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Integration questions related to fractional Brownian motion

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Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation

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Identifiers

arXiv ID

2004.10369

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DOI

10.1016/j.jspi.2022.11.004

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6101687

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@@ 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