PARAMETER ESTIMATION AND SPECTRUM OF FRACTIONAL ARIMA PROCESS

DOI10.14317/JAMI.2015.203zbMath1318.60042OpenAlexW2335525040MaRDI QIDQ5255048

Yun Kyong Kim, Joo-Mok Kim

Publication date: 11 June 2015

Published in: Journal of applied mathematics & informatics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14317/jami.2015.203

zbMATH Keywords

fractional Brownian motionself-similaritypower spectrum densityfractional ARIMA processesR/S method

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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