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A note on filtering for long memory processes.

Thavaneswaran, A; Heyde, C C

Description

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 [1]. Recursive filtering for models with linear intensity is also discussed in some detail.

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
URI: http://hdl.handle.net/1885/93120
Source: Mathematical and Computer Modelling
DOI: 10.1016/S0895-7177(01)00122-4

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