Fractionally integrated processes of Ornstein-Uhlenbeck type
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.
| Autor Principal: | Valdivieso Serrano, Luis Hilmar |
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| Formato: | Artículo |
| Idioma: | spa |
| Publicado: |
Pontificia Universidad Católica del Perú
2014
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| Materias: | |
| Acceso en línea: |
http://revistas.pucp.edu.pe/index.php/promathematica/article/view/10250/10695 |
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| Sumario: |
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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