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

DOI10.1111/J.1467-9892.2010.00709.XMaRDI QIDQ5495696zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

continuous time modelslong memory processes

Mathematics Subject Classification ID

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

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Cites work

• Efficient parameter estimation for self-similar processes
• ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
• scientific article; zbMATH DE number 2199141 (Why is no real title available?)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• 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
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• The exact discrete model of a system of linear stochastic differential equations driven by fractional noise
• The simulation of random vector time series with given spectrum

Cited in

(3)

• scientific article; zbMATH DE number 4176278 (Why is no real title available?)
• ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
• FIXED-B ASYMPTOTICS FOR THE STUDENTIZED MEAN FROM TIME SERIES WITH SHORT, LONG, OR NEGATIVE MEMORY

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