Fractionally integrated processes of Ornstein-Uhlenbeck type

Authors

  • Luis Hilmar Valdivieso Serrano Pontifical Catholic University of Peru image/svg+xml

Keywords:

Fractional Lévy processes, long range dependence, frecuency domain estimation

Abstract

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.

Downloads

Download data is not yet available.

Downloads

Published

2007-09-07

Issue

Vol. 21 No. 41-42 (2007)

Section

Artículos

License

Copyright (c) 2016 Pro Mathematica

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

How to Cite

Fractionally integrated processes of Ornstein-Uhlenbeck type. (2007). Pro Mathematica, 21(41-42), 107-143. https://revistas.pucp.edu.pe/index.php/promathematica/article/view/10250