SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
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Cites work
- Continuous-time fractional ARMA processes
- Efficient parameter estimation for self-similar processes
- 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?)
- 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
(29)- A comparison of techniques of estimation in long-memory processes.
- Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
- Parameter identification for singular random fields arising in Burgers' turbulence
- Estimation of the fractionally differencing parameter with the R/S method
- 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
- Long memory continuous time models
- Perfect simulation of autoregressive models with infinite memory
- Random discretization of stationary continuous time processes
- Semiparametric analysis of long-range dependence in nonlinear regression
- Approximating some Volterra type stochastic integrals with applications to parameter estimation.
- Long memory in integrated and realized variance
- Econometric estimation in long-range dependent volatility models: theory and practice
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
- Estimation of long memory in integrated variance
- A simulation smoother for long memory time series with correlated and heteroskedastic additive noise
- Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
- Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
- Self-similarity index estimation via wavelets for locally self-similar processes
- On continuous-time autoregressive fractionally integrated moving average processes
- Fractional processes and their statistical inference: an overview
- Burn-in selection in simulating stationary time series
- Inference for continuous-time long memory randomly sampled processes
- Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
- Fractional Gaussian noise: spectral density and estimation methods
- Assessing volatility persistence in fractional Heston models with self-exciting jumps
- Asymptotics for irregularly observed long memory processes
- The effect of round-off error on long memory processes
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