Fractionally integrated processes of Ornstein-Uhlenbeck type

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Date
2007
Author
Valdivieso Serrano, Luis Hilmar
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URI
http://revistas.pucp.edu.pe/index.php/promathematica/article/view/10250/10695
Fuente
Pro Mathematica; Vol. 21, Núm. 41-42 (2007)
Abstract
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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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