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SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS

 

作者: F. Comte,  

 

期刊: Journal of Time Series Analysis  （WILEY Available online 1996）
卷期: Volume 17, issue 1  

页码: 19-36

 

ISSN:0143-9782

 

年代: 1996

 

DOI:10.1111/j.1467-9892.1996.tb00262.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Long memory;continuous models;simulation;estimation;Monte Carlo methods

 

数据来源: WILEY

 

摘要:

Abstract.Some general properties of long memory continuous time processes are recalled or proved. Methods of simulation are studied. A comparison with the usual discrete time autoregressive fractionally integrated moving‐average filter is made and illustrations are provided. Then, two methods of estimation of the parameters of such a model from a discrete sample are studied, both theoretically and empirically, with Monte Carlo experiment

 

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