When long memory meets the Kalman filter: a comparative study

DOI10.1016/j.csda.2012.10.018zbMath1506.62070OpenAlexW2048211164MaRDI QIDQ1623533

Stefano Grassi, Paolo Santucci de Magistris

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.10.018

zbMATH Keywords

missing observationsmeasurement errorstate spacelevel shiftsARFIMA models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Combining long memory and level shifts in modelling and forecasting the volatility of asset returns ⋮ State space modeling of Gegenbauer processes with long memory ⋮ A modified test against spurious long memory ⋮ Bayesian estimation of fractional difference parameter in ARFIMA models and its application ⋮ Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials ⋮ A Kalman filter method for estimation and prediction of space-time data with an autoregressive structure ⋮ Approximate state space modelling of unobserved fractional components

Uses Software

• longmemo

Cites Work

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