Spectral estimation for non-linear long range dependent discrete time trawl processes

DOI10.1214/20-EJS1742zbMath1451.62099arXiv2001.02579OpenAlexW2999103204MaRDI QIDQ2199705

Paul Doukhan, Joseph Rynkiewicz, François Roueff

Publication date: 14 September 2020

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.02579

zbMATH Keywords

integer-valued time seriestrawl processeslong memory parameter estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Related Items (1)

Limit theorems for trawl processes

Cites Work

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• Gaussian semiparametric estimation of long range dependence
• Discrete-time trawl processes
• Estimation of the memory parameter of the infinite-source Poisson process
• Weak dependence. With examples and applications.
• Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
• Consistent estimation of the memory parameter for nonlinear time series
• Long-Range Dependence and Self-Similarity
• Estimating Long Memory in Volatility
• The estimation of frequency

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