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~person:"Shi, Shuping"
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Fractional Brownian motion
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Stochastic process
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Stochastischer Prozess
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Whittle likelihood
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Change-of-frequency
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Estimation theory
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fractional Ornstein-Uhlenbeck process
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Shi, Shuping
Asai, Manabu
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McAleer, Michael
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Shimotsu, Katsumi
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Chang, Chia-Lin
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Dubois, Florent
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Truchis, Gilles de
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Yu, Jun
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Plagborg-Møller, Mikkel
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On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
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Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
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