Least squares estimators for nearly unstable processes for functionals of long-memory noises

DOI10.3233/RDA-2012-0066MaRDI QIDQ4921209zbMATH OpenOpenAlexFDO

Authors Ngai Hang Chan, Weiwei Liu

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

zbMATH Keywords

Hermite Ornstein-Uhlenbeck processesleast squares estimatorlong-memory noisesnearly unstable processes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(5)

• Receding horizon least squares estimator with application to estimation of process and measurement noise covariances
• General autoregressive models with long-memory noise
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• scientific article; zbMATH DE number 4145147 (Why is no real title available?)
• On the singularity of least squares estimator for mean-reverting \(\alpha\)-stable motions

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