Fractionally integrated processes of Ornstein-Uhlenbeck type
Palabras clave:
Fractional Lévy processes, long range dependence, frecuency domain estimation
Resumen
An estimation methodology to deal with fractionally integrated processes of Ornstein- Uhlenbeck type is proposed. The methodology is based on the continuous Whittle contrast. A simulation study is performed by driving this process with a symmetric CGMY background Lévy process.
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Cómo citar
Valdivieso Serrano, L. (2007). Fractionally integrated processes of Ornstein-Uhlenbeck type. Pro Mathematica, 21(41-42), 107-143. Recuperado a partir de https://revistas.pucp.edu.pe/index.php/promathematica/article/view/10250
Derechos de autor 2016 Pro Mathematica
Esta obra está bajo licencia internacional Creative Commons Reconocimiento 4.0.
