Estimation and prediction of Gaussian processes using generalized Cauchy covariance model under fixed domain asymptotics

DOI10.1214/19-EJS1597zbMath1432.62291arXiv1712.09957OpenAlexW2973506948MaRDI QIDQ2326046

Moreno Bevilacqua, Tarik Faouzi

Publication date: 4 October 2019

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

Full work available at URL: https://arxiv.org/abs/1712.09957

zbMATH Keywords

maximum likelihoodlong memoryinfill asymptoticsmicroergodic parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15)

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