On the asymptotic properties of a feasible estimator of the continuous time long memory parameter

DOI10.1111/j.1467-9892.2010.00709.xzbMath1294.62198OpenAlexW2138924179MaRDI QIDQ5495696

Joanne S. Ercolani

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00709.x

zbMATH Keywords

long memory processescontinuous time models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Cites Work

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• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data

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