A note on filtering for long memory processes

DOI10.1016/S0895-7177(01)00122-4zbMath1003.62078OpenAlexW2086063332WikidataQ127676071 ScholiaQ127676071MaRDI QIDQ1600534

A. Thavaneswaran, Christopher C. Heyde

Publication date: 13 June 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00122-4

zbMATH Keywords

predictionestimating functionlong-memoryfilering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (2)

Prediction via estimating functions ⋮ Random coefficient GARCH models

Uses Software

• longmemo

Cites Work

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• On combining quasi-likelihood estimating functions
• A criterion for filtering in semimartingale models
• Time series: theory and methods.
• Linear Bayes and optimal estimation
• On the prediction of fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications

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