Temporal aggregation of stationary and non-stationary continuous-time processes

Scandinavian Journal of Statistics

Volumn 32, Issue 4, 2005, Pages 583-597

  Tsai, Henghsiu ^a   Chan, K S ^b  

^a INSTITUTE OF STATISTICAL SCIENCE   (Taiwan)

^b UNIVERSITY OF IOWA   (United States)

Author keywords

Asymptotic efficiency of prediction; Autocorrelation; CARFIMA models; Fractional Brownian motion; Long memory; Spectral density

Indexed keywords

EID: 20744434308     PISSN: 03036898     EISSN: 14679469     Source Type: Journal    
DOI: 10.1111/j.1467-9469.2005.00455.x     Document Type: Article

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