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~subject:"Fractional Brownian motion"
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Fractional Brownian motion
Whittle likelihood
24
Time series analysis
8
Zeitreihenanalyse
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Discrete Fourier transform
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semiparametric estimation
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Estimation theory
6
Fractional integration
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Long memory
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Schätztheorie
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Stochastic process
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Stochastischer Prozess
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long memory
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Long Memory
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Nichtparametrisches Verfahren
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Nonparametric statistics
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local Whittle likelihood
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nonstationarity
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Lagrange multiplier testing principle
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Monte Carlo simulation
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Monte-Carlo-Simulation
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Stochastic Volatility
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fractional Brownian motion
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fractional integration
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Asymmetry
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Stochastic volatility
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Stochastische Volatilität
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Structural break
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Strukturbruch
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Whittle Likelihood
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conditional heteroskedasticity
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level breaks
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spurious long memory
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ARCH model
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ARCH-Modell
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Adaptive estimator
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Asymptotic bias
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Fractional cointegration
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Gegenbauer Polynomial
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Shi, Shuping
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Yu, Jun
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Zhang, Chen
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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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