Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (Q625295)
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scientific article; zbMATH DE number 5851794
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| English | Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion |
scientific article; zbMATH DE number 5851794 |
Statements
Estimators for the long-memory parameter in LARCH models, and fractional Brownian motion (English)
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15 February 2011
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ARCH
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times series
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fractional Brownian motion
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maximum likelihood estimator
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long memory
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whittle estimator
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moving average
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0.8766074
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0.87235445
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0.86546683
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0.8648169
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