Estimation d’intégrales de processus multi-fractionnaires

DOI10.1016/S0764-4442(99)80391-7MaRDI QIDQ4348308zbMATH OpenFDO

Authors Jacques Istas

Publication date 28 September 1997

Published in Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

zbMATH Keywords

asymptotically dominatedmulti-fractional stochastic processes

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25)

Recommendations

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• scientific article; zbMATH DE number 647008

Cited in

(8)

• Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
• Predicting integrals of stochastic processes
• \(L^p\)-loss and limit distribution for predicting integrals of some non-Gaussian second order processes
• Multiscale estimation of processes related to the fractional Black-Scholes equation
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Evaluating the efficiency of fractional integration parameter estimators
• Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
• Local Whittle estimation of fractional integration for nonlinear processes

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