Disaggregation of long memory processes on \(\mathcal C^\infty\) class
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Publication:2433666
DOI10.1214/ECP.v11-1133zbMath1112.62089arXivmath/0509308MaRDI QIDQ2433666
Lisandro J. Fermín, Didier Dacunha-Castelle
Publication date: 3 November 2006
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0509308
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
62M15: Inference from stochastic processes and spectral analysis
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