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On a class of minimum contrast estimators for fractional stochastic processes and fields

Anh, V. V., Leonenko, Nikolai N. and Sakhno, L. M. 2004. On a class of minimum contrast estimators for fractional stochastic processes and fields. Journal of Statistical Planning and Inference 123 (1) , pp. 161-185. 10.1016/S0378-3758(03)00136-8

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Abstract

This paper presents the results on consistency and asymptotic normality of a class of minimum contrast estimators for fractional Riesz–Bessel motion based on continuous-time observation. The method does not require discretization, which is necessary in existing approaches. The results are then generalized to random processes and fields with short- or long-range dependence.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Uncontrolled Keywords: Minimum contrast estimators; Fractional Riesz–Bessel motion; Fractional random fields; Long-range dependence; Consistency; Asymptotic normality
Publisher: Elsevier
ISSN: 0378-3758
Last Modified: 04 Jun 2017 03:48
URI: http://orca.cf.ac.uk/id/eprint/26898

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