On the asymptotic properties of a feasible estimator of the continuous time long memory parameter

DOI10.1111/j.1467-9892.2010.00709.xzbMath1294.62198MaRDI QIDQ5495696

Joanne S. Ercolani

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

zbMATH Keywords

long memory processes; continuous time models

Mathematics Subject Classification ID

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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