On continuous-time autoregressive fractionally integrated moving average processes

DOI10.3150/08-BEJ143zbMath1200.62111arXiv0902.1403MaRDI QIDQ605852

Henghsiu Tsai

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0902.1403

zbMATH Keywords

fractional Brownian motion; long memory; spectral density; autocovariance; antipersistence

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Shrinkage Estimation of the Memory Parameter in Stationary Gaussian Processes, ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES, Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability, On the exponential process associated with a CARMA-type process, The ARMA alphabet soup: a tour of ARMA model variants, Random discretization of stationary continuous time processes, Optimal convergence rates in non-parametric regression with fractional time series errors

Uses Software

• longmemo

Cites Work

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