Fractionally integrated processes of Ornstein-Uhlenbeck type

Authors

  • Luis Hilmar Valdivieso Serrano Pontificia Universidad Católica del Perú

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.

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Published

2007-09-07

How to Cite

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

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.