Estimation of FARIMA Parameters in the Case of Negative Memory and Stable Noise

DOI10.1109/TSP.2013.2253773zbMath1393.94182MaRDI QIDQ4578565

Krzysztof Burnecki, Grzegorz Sikora

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Stable stochastic processes (60G52)

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