Thavaneswaran, A; Heyde, C C
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.
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.