Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes

DOI10.1016/j.jspi.2022.11.004arXiv2004.10369OpenAlexW4309631998MaRDI QIDQ6101687

Juan Kalemkerian

Publication date: 20 June 2023

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.10369

zbMATH Keywords

fractional Brownian motionlong memory processesfractional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes

Cites Work

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• Partial autocorrelation parameterization for subset autoregression
• The Inverse Autocorrelations of a Time Series and Their Applications
• Introduction to Time Series and Forecasting
• A truncated Cramér–von Mises test of normality

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