Estimation d’intégrales de processus multi-fractionnaires

DOI10.1016/S0764-4442(99)80391-7zbMATH Open0883.60036MaRDI QIDQ4348308FDOQ4348308

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)

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• scientific article; zbMATH DE number 647008

zbMATH Keywords

asymptotically dominatedmulti-fractional stochastic processes

Mathematics Subject Classification ID

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

Cited In (8)

• \(L^p\)-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
• Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
• Predicting integrals of stochastic processes
• Local Whittle estimation of fractional integration for nonlinear processes
• Baxter's inequality for finite predictor coefficients of multivariate long-memory stationary processes
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Evaluating the efficiency of fractional integration parameter estimators

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