SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS

DOI10.1111/J.1467-9892.1996.TB00262.XzbMATH Open0836.62060OpenAlexW1974062170MaRDI QIDQ4870528FDOQ4870528

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

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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)

Cites Work

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• Efficient parameter estimation for self-similar processes
• Tests for Hurst effect
• 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
• Continuous-time fractional ARMA processes

Cited In (21)

• Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
• 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
• Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
• 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
• Econometric estimation in long-range dependent volatility models: theory and practice
• Long Memory in Integrated and Realized Variance
• Long memory continuous time models
• On continuous-time autoregressive fractionally integrated moving average processes
• Estimation of Long Memory in Integrated Variance
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Self-similarity index estimation via wavelets for locally self-similar processes
• Estimation ofk-Factor GIGARCH Process: A Monte Carlo Study
• Approximating some Volterra type stochastic integrals with applications to parameter estimation.
• 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
• Semiparametric analysis of long-range dependence in nonlinear regression
• Random discretization of stationary continuous time processes

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