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

DOI10.1111/J.1467-9892.2010.00709.XzbMATH Open1294.62198OpenAlexW2138924179MaRDI QIDQ5495696FDOQ5495696

Authors: 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

Recommendations

• An \(M\)-estimator for the long-memory parameter
• scientific article; zbMATH DE number 4176278
• Asymptotic expansion of \(M\)-estimators with long-memory errors
• Influence of long memory on the asymptotic behaviour of functional estimators
• Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
• ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM

zbMATH Keywords

long memory processescontinuous time models

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

• Efficient parameter estimation for self-similar processes
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• The simulation of random vector time series with given spectrum
• Title not available (Why is that?)
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
• MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
• The exact discrete model of a system of linear stochastic differential equations driven by fractional noise
• ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS

Cited In (3)

• ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
• Title not available (Why is that?)
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY

This page was built for publication: On the asymptotic properties of a feasible estimator of the continuous time long memory parameter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5495696)