Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise

Cites work

scientific article; zbMATH DE number 3502497 (Why is no real title available?)
ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
Adaptive estimation for degenerate diffusion processes
Asymptotic efficiency in autoregressive processes driven by stationary Gaussian noise
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
Asymptotically efficient estimators for self-similar stationary Gaussian noises under high frequency observations
Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time-series models
Efficient estimation of stable Lévy process with symmetric jumps
Efficient parameter estimation for self-similar processes
Exact local Whittle estimation of fractional integration
Gaussian pseudo-maximum likelihood estimation of fractional time series models
Gaussian semiparametric estimation of long range dependence
Hybrid multi-step estimators for stochastic differential equations based on sampled data
LAN property for some fractional type Brownian motion
Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
Log-periodogram regression of time series with long range dependence
M Estimators of Location for Gaussian and Related Processes With Slowly Decaying Serial Correlations
On bilinear forms in Gaussian random variables and Toeplitz matrices
On large-sample estimation for the mean of a stationary random sequence
On multi-step MLE-process for Markov sequences
One-step estimation for the fractional Gaussian noise at high-frequency
Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
Testing for the change of the mean-reverting parameter of an autoregressive model with stationary Gaussian noise
The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
Uniform asymptotic normality of the maximum likelihood estimator
Volatility is rough

This page was built for publication: Fast and asymptotically-efficient estimation in an autoregressive process with fractional type noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6556772)