Dynamic models of long-memory processes driven by Lévy noise

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Cited in

(36)

Orthogonal series density estimation in a disaggregation scheme
Fractional stochastic partial differential equation for random tangent fields on the sphere
On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
Limit theorems for aggregated linear processes
On semilinear stochastic fractional differential equations of Volterra type
On the Structure and Estimation of Reflection Positive Processes
Stochastic analysis and approximation of fractional diffusion
Statistical inference using higher-order information
Linnik processes
A distributed-order fractional stochastic differential equation driven by Lévy noise: existence, uniqueness, and a fast EM scheme
Lamperti-type laws
Minimum contrast estimation of random processes based on information of second and third orders
Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models
Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
Fractionally integrated Gauss-Markov processes and applications
Verhulst model with Lévy white noise excitation
On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields
Parameter estimation for reciprocal gamma Ornstein-Uhlenbeck type processes
Econometric estimation in long-range dependent volatility models: theory and practice
Fractional Lévy-driven Ornstein-Uhlenbeck processes and stochastic differential equations
Solutions of certain fractional kinetic equations and a fractional diffusion equation
Fractional kinetic equations driven by Gaussian or infinitely divisible noise
Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
The use of the variogram in construction of stationary time series models
Spatiotemporal random fields associated with stochastic fractional Helmholtz and heat equations
A least squares estimator for Lévy-driven moving averages based on discrete time observations
Optimal control for stochastic Volterra equations with multiplicative Lévy noise
Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence
Representations of continuous-time ARMA processes
Asymptotic behavior of weakly dependent aggregated processes
A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
Combining estimating functions for volatility
On the Whittle estimators for some classes of continuous-parameter random processes and fields
Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
On \(1/f\) noise
Student processes

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