An estimation methodology to deal with fractionally integrated processes of Ornstein- Uhlenbeck type is proposed. The methodology is based on the continuous Whittle contrast. A simulation study is performed by driving this process with a symmetric CGMY background Lévy process.
| Identifer | oai:union.ndltd.org:PUCP/oai:tesis.pucp.edu.pe:123456789/97091 |
| Date | 25 September 2017 |
| Creators | Valdivieso Serrano, Luis Hilmar |
| Publisher | Pontificia Universidad Católica del Perú |
| Source Sets | Pontificia Universidad Católica del Perú |
| Language | Español |
| Detected Language | English |
| Type | Artículo |
| Format | |
| Source | Pro Mathematica; Vol. 21, Núm. 41-42 (2007); 107-143 |
| Rights | Artículo en acceso abierto, Attribution 4.0 International, https://creativecommons.org/licenses/by/4.0/ |
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