Estimation and Inference of fractional continuous-time model with discrete-sampled data
This paper proposes a two-stage method for estimating parameters in a para-metric fractional continuous-time model based on discrete-sampled observations. In the first stage, the Hurst parameter is estimated based on the ratio of two second-order differences of observations from different time scales....
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2294 https://ink.library.smu.edu.sg/context/soe_research/article/3293/viewcontent/TwostagefVm23_.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |