A note on filtering for long memory processes.
This paper illustrates the use of quasilikelihood methods of inference for a class of possibly long-memory processes such as H-sssi (self-similar stationary increments) processes and long-range dependent sequences. In particular, they can be used in a general derivation without assuming normality of the process; this extends the result of Gripenberg and Norros . Recursive filtering for models with linear intensity is also discussed in some detail.
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|Source:||Mathematical and Computer Modelling|
|01_Thavaneswaran_A_note_on_filtering_for_long_2001.pdf||425.11 kB||Adobe PDF||Request a copy|
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