A note on filtering for long memory processes

Mathematical and Computer Modelling

Volumn 34, Issue 9-11, 2001, Pages 1139-1144

  Thavaneswaran, A ^a   Heyde, C C ^b  

^a UNIVERSITY OF MANITOBA   (Canada)

^b Australian National University ^*  (Australia)

Author keywords

Estimating function; Filtering; Long memory; Prediction

Indexed keywords

EID: 0035943849     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(01)00122-4     Document Type: Article

References (11)

1. On the prediction of factional Brownian motion
2. Statistical methods for data with long-range dependence
3. Asymptotic efficiency results for the method of moments with application to estimation for queueing processes
4. Some results on in inference for stationary processes and queueing systems
5. Linear models with long-range dependence and with finite or infinite variance
6. On combining quasi-likelihood estimating functions
7. Fractional Brownian motions, fractional noises and applications
8. A criterion for filtering in semimartingale models