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Fractionally integrated processes of Ornstein-Uhlenbeck type

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.

Identiferoai:union.ndltd.org:PUCP/oai:tesis.pucp.edu.pe:123456789/97091
Date25 September 2017
CreatorsValdivieso Serrano, Luis Hilmar
PublisherPontificia Universidad Católica del Perú
Source SetsPontificia Universidad Católica del Perú
LanguageEspañol
Detected LanguageEnglish
TypeArtículo
FormatPDF
SourcePro Mathematica; Vol. 21, Núm. 41-42 (2007); 107-143
RightsArtículo en acceso abierto, Attribution 4.0 International, https://creativecommons.org/licenses/by/4.0/

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