SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS

DOI10.1111/J.1467-9892.1996.TB00262.XMaRDI QIDQ4870528zbMATH OpenOpenAlexFDO

Authors F. Comte

Publication date 20 March 1996

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1996.tb00262.x

zbMATH Keywords

Monte Carlosimulationdiscrete time autoregressive fractionally integrated moving-average filterlong memory continuous time processes

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3259552 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Continuous-time fractional ARMA processes
• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Long memory continuous time models
• Long memory in continuous-time stochastic volatility models
• Tests for Hurst effect

Cited in

(24)

• Burn-in selection in simulating stationary time series
• Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
• Long memory in integrated and realized variance
• Fractional processes and their statistical inference: an overview
• Inference for continuous-time long memory randomly sampled processes
• Parameter identification for singular random fields arising in Burgers' turbulence
• Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere
• On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields
• Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
• Econometric estimation in long-range dependent volatility models: theory and practice
• Long memory continuous time models
• On continuous-time autoregressive fractionally integrated moving average processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Self-similarity index estimation via wavelets for locally self-similar processes
• The effect of round-off error on long memory processes
• Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
• Approximating some Volterra type stochastic integrals with applications to parameter estimation.
• A simulation smoother for long memory time series with correlated and heteroskedastic additive noise
• Perfect simulation of autoregressive models with infinite memory
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• Estimation of long memory in integrated variance
• Semiparametric analysis of long-range dependence in nonlinear regression
• Random discretization of stationary continuous time processes

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