Spectral analysis for intrinsic time processes
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Publication:1038430
DOI10.1016/J.SPL.2009.08.020zbMath1175.62100OpenAlexW2066826231MaRDI QIDQ1038430
Shunsuke Kawamura, Tomoyuki Amano, Masanobu Taniguchi, Takahide Ishioka
Publication date: 18 November 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.08.020
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and spectral analysis (62M15) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
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- A central limit theorem for stationary processes and the parameter estimation of linear processes
- Kernel autocorrelogram for time-deformed processes
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
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