scientific article; zbMATH DE number 2112533

MaRDI QIDQ4824072zbMATH OpenFDO

Authors Aride Mazzali

Publication date 29 October 2004

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Extended fractional Gaussian noise and simple ARFIMA approximations
• State space modeling of Gegenbauer processes with long memory
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• State space estimation for long memory AFRIMA-GARCH models
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models

Cited in

(1)

• Extended fractional Gaussian noise and simple ARFIMA approximations

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