A note on filtering for long memory processes.

Abstract

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. Show more