General autoregressive models with long-memory noise
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Publication:1862209
DOI10.1023/A:1021239013171zbMath1024.62034OpenAlexW1492030605MaRDI QIDQ1862209
Publication date: 10 March 2003
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1021239013171
fractional Brownian motionleast-squares estimatorlong-memory processstochastic integralstandard Brownian motionmultiple Wiener-Itô integralgeneral autoregressive model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)
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