State space modeling of Gegenbauer processes with long memory

DOI10.1016/j.csda.2014.09.014zbMath1466.62057OpenAlexW2072032944MaRDI QIDQ1659105

G. S. Dissanayake, M. Shelton Peiris, Tommaso Proietti

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.09.014

zbMATH Keywords

long memorystate space modelsGegenbauer processes

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (5)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Bayesian estimation of Gegenbauer processes ⋮ Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications ⋮ A general frequency domain estimation method for Gegenbauer processes ⋮ Estimation methods for stationary Gegenbauer processes

Uses Software

• longmemo

Cites Work

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