Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion

DOI10.1007/s11203-008-9030-7zbMath1205.91175MaRDI QIDQ625295

Juan-Miguel Gracia

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-008-9030-7

zbMATH Keywords

fractional Brownian motion; ARCH; maximum likelihood estimator; long memory; moving average; times series; whittle estimator

Mathematics Subject Classification ID

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

91G70: Statistical methods; risk measures

60G22: Fractional processes, including fractional Brownian motion

62M09: Non-Markovian processes: estimation

91B84: Economic time series analysis

60G18: Self-similar stochastic processes

Uses Software

• itsmr