Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes
DOI10.1111/J.1467-9469.2005.00455.XzbMATH Open1092.62096OpenAlexW2089628563MaRDI QIDQ5467710FDOQ5467710
Authors: Henghsiu Tsai, Kung-Sik Chan 
Publication date: 24 May 2006
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2005.00455.x
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forecastingasymptotic distributionspectral densityCARFIMAcontinuous time auto-regressive fractionally integrated moving-overage process
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Cited In (15)
- Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
- Temporal aggregation of lognormal AR processes
- Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
- Estimation of fractional integration under temporal aggregation
- Title not available (Why is that?)
- Temporal Aggregation and Bandwidth selection in estimating long memory
- Memory properties and aggregation of spatial autoregressive models
- On continuous-time autoregressive fractionally integrated moving average processes
- Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability
- Asymmetric Group Sequential Designs under Fractional Brownian Motion
- Estimation of stable CARMA models with an application to electricity spot prices
- Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
- Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes
- Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
- Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process
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