Least squares estimators for nearly unstable processes for functionals of long-memory noises
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Publication:4921209
DOI10.3233/RDA-2012-0066zbMath1370.62039MaRDI QIDQ4921209
Publication date: 23 May 2013
Published in: Risk and Decision Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3233/rda-2012-0066
least squares estimator; nearly unstable processes; long-memory noises; Hermite Ornstein-Uhlenbeck processes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62M05: Markov processes: estimation; hidden Markov models