Maximum likelihood estimation of the parameters of discrete fractionally differenced Gaussian noise process

DOI10.1109/78.277804MaRDI QIDQ4276680zbMATH OpenOpenAlexFDO

Authors Ahmed H. Tewfik, Mohamed Deriche

Publication date 7 February 1994

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/78.277804

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10)

Cited in

(9)

• Maximum likelihood estimation of clock skew in IEEE 1588 with fractional Gaussian noise
• A regularised estimator for long-range dependent processes
• A comparsion of estimators for 1/f noise
• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
• Existence of periodic, solitary and compacton travelling wave solutions of a \((3+1)\)-dimensional time-fractional nonlinear evolution equations with applications
• Maximum likelihood estimation of stationary multivariate ARFIMA processes
• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• Computation of fractional order derivative and integral via power series expansion and signal modelling
• Fractal analyses for `short' time series: A re-assessment of classical methods

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