State space modeling of Gegenbauer processes with long memory
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Publication:1659105
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
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
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Cites Work
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