SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS

F. Comte

Journal of Time Series Analysis, 1996, vol. 17, issue 1, 19-36

Abstract: Abstract. Some general properties of long memory continuous time processes are recalled or proved. Methods of simulation are studied. A comparison with the usual discrete time autoregressive fractionally integrated moving‐average filter is made and illustrations are provided. Then, two methods of estimation of the parameters of such a model from a discrete sample are studied, both theoretically and empirically, with Monte Carlo experiments.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:1:p:19-36

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