SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS

DOI10.1111/j.1467-9892.1996.tb00262.xzbMath0836.62060OpenAlexW1974062170MaRDI QIDQ4870528

Fabienne Comte

Publication date: 20 March 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00262.x

zbMATH Keywords

simulationMonte Carlodiscrete time autoregressive fractionally integrated moving-average filterlong memory continuous time processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Monte Carlo methods (65C05)

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Cites Work

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• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Continuous-time fractional ARMA processes
• Long memory continuous time models
• Long memory in continuous-time stochastic volatility models
• Tests for Hurst effect