Diffusion-type models with given marginal distribution and autocorrelation function

Bernoulli

Volumn 11, Issue 2, 2005, Pages 191-220

  Bibby, Bo Martin ^a   Skovgaard, Ib Michael ^a   Sørensen, Michael ^b  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Ergodic diffusions; Generalized hyperbolic distributions; Long range dependence; Saddlepoint approximation; Stochastic differential equation; Turbulence

Indexed keywords

EID: 22244488845     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/bj/1116340291     Document Type: Article

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