One-step estimation for the fractional Gaussian noise at high-frequency
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Cites work
- Asymptotic Statistics
- Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
- Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
- Efficient estimation of stable Lévy process with symmetric jumps
- Efficient parameter estimation for self-similar processes
- Estimation in models driven by fractional Brownian motion
- Estimation of the linear fractional stable motion
- Fisher information for fractional Brownian motion under high-frequency discrete sampling
- Fisher's Information for Discretely Sampled Lvy Processes
- scientific article; zbMATH DE number 3123545 (Why is no real title available?)
- scientific article; zbMATH DE number 3733065 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 3441440 (Why is no real title available?)
- scientific article; zbMATH DE number 3426635 (Why is no real title available?)
- LAN property for some fractional type Brownian motion
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
- On multi-step MLE-process for Markov sequences
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Uniform asymptotic normality of the maximum likelihood estimator
- Wavelet analysis and synthesis of fractional Brownian motion
Cited in
(9)- Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
- One-step closed-form estimator for generalized linear model with categorical explanatory variables
- Fast and asymptotically efficient estimation in the Hawkes processes
- Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise
- Parameter estimation for fractional autoregressive process with seasonal structure
- Fractional Gaussian noise: spectral density and estimation methods
- One-step statistical estimation method for generalized linear models
- Statistical inference for the first-order autoregressive process with the fractional Gaussian noise
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