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- Publisher
- Wiley
- Copyright
- Copyright © 1996 Wiley Subscription Services, Inc., A Wiley Company
- ISSN
- 0143-9782
- eISSN
- 1467-9892
- DOI
- 10.1111/j.1467-9892.1996.tb00262.x
- Publisher site
- See Article on Publisher Site
Abstract
Abstract. Some general properties of long memory continuous time processes are recalled or proved. Methods of simulation are studied. A comparison with the usual discrete time autoregressive fractionally integrated moving‐average filter is made and illustrations are provided. Then, two methods of estimation of the parameters of such a model from a discrete sample are studied, both theoretically and empirically, with Monte Carlo experiments.
Journal
Journal of Time Series Analysis – Wiley
Published: Jan 1, 1996