General autoregressive models with long-memory noise

DOI10.1023/A:1021239013171zbMath1024.62034OpenAlexW1492030605MaRDI QIDQ1862209

Mohamed Boutahar

Publication date: 10 March 2003

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1021239013171

zbMATH Keywords

fractional Brownian motionleast-squares estimatorlong-memory processstochastic integralstandard Brownian motionmultiple Wiener-Itô integralgeneral autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Moment estimator for an AR(1) model driven by a long memory Gaussian noise ⋮ Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series

This page was built for publication: General autoregressive models with long-memory noise