Least squares estimators for nearly unstable processes for functionals of long-memory noises

DOI10.3233/RDA-2012-0066zbMath1370.62039OpenAlexW1702458107MaRDI QIDQ4921209

Ngai Hang Chan, Weiwei Liu

Publication date: 23 May 2013

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0066

zbMATH Keywords

least squares estimatornearly unstable processeslong-memory noisesHermite Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05)

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