Temporal Aggregation of Stationary and Non‐stationary Continuous‐Time Processes

DOI10.1111/J.1467-9469.2005.00455.XMaRDI QIDQ5467710zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

forecastingasymptotic distributionspectral densityCARFIMAcontinuous time auto-regressive fractionally integrated moving-overage process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

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Cites work

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• Continuous-time fractional ARMA processes
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• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
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Cited in

(15)

• Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
• Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme
• Temporal aggregation of lognormal AR processes
• Estimation of fractional integration under temporal aggregation
• scientific article; zbMATH DE number 3949563 (Why is no real title available?)
• Asymmetric group sequential designs under fractional Brownian motion
• 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
• Estimation of stable CARMA models with an application to electricity spot prices
• Temporal Aggregation of Stationary And Nonstationary Discrete‐Time Processes
• Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
• 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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Uses Software

• longmemo

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