Disaggregation of long memory processes on \(\mathcal C^\infty\) class

DOI10.1214/ECP.v11-1133zbMath1112.62089arXivmath/0509308MaRDI QIDQ2433666

Didier Dacunha-Castelle, Lisandro J. Fermín

Publication date: 3 November 2006

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0509308

Mathematics Subject Classification ID

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

60G10: Stationary stochastic processes

62M15: Inference from stochastic processes and spectral analysis

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