Maximum likelihood estimators of a long-memory process from discrete observations
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Publication:1712209
DOI10.1186/s13662-018-1611-1zbMath1446.62232OpenAlexW2803064963MaRDI QIDQ1712209
Publication date: 21 January 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-018-1611-1
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (2)
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
Uses Software
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