On the asymptotic properties of a feasible estimator of the continuous time long memory parameter
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Publication:5495696
DOI10.1111/j.1467-9892.2010.00709.xzbMath1294.62198MaRDI QIDQ5495696
Publication date: 6 August 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00709.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G22: Fractional processes, including fractional Brownian motion
62F10: Point estimation
62M15: Inference from stochastic processes and spectral analysis
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