A note on filtering for long memory processes

DOI10.1016/S0895-7177(01)00122-4MaRDI QIDQ1600534zbMATH OpenOpenAlexWikidataFDO

Authors A. Thavaneswaran, Christopher C. Heyde

Publication date 13 June 2002

Published in Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0895-7177(01)00122-4

zbMATH Keywords

predictionestimating functionlong-memoryfilering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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• A criterion for filtering in semimartingale models
• Fractional Brownian Motions, Fractional Noises and Applications
• Linear Bayes and optimal estimation
• On combining quasi-likelihood estimating functions
• On the prediction of fractional Brownian motion
• Time series: theory and methods.

Cited in

(5)

• On filtered binary processes
• Random coefficient GARCH models
• scientific article; zbMATH DE number 431654 (Why is no real title available?)
• Prediction via estimating functions
• A simulation smoother for long memory time series with correlated and heteroskedastic additive noise

Describes a project that uses

Uses Software

• longmemo

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