On the spectral density of fractional Ornstein-Uhlenbeck Process: Approximation, Estimation, and Model Comparison
This paper introduces a novel method for accurately approximating the spectral density of the discretely-sampled fractional Ornstein-Uhlenbeck (fOU) process. We utilize this approximated spec-tral density to develop an estimation method called the approximated Whittle maximum likelihood method (AWML...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2680 https://ink.library.smu.edu.sg/context/soe_research/article/3679/viewcontent/Paxson_approximation_fOU08__2_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |