Temporal Aggregation of Stationary and Non-stationary Continuous-Time Processes
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References listed on IDEAS
- Henghsiu Tsai & K. S. Chan, 2005. "Quasi-Maximum Likelihood Estimation for a Class of Continuous-time Long-memory Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(5), pages 691-713, September.
- Harvey,Andrew C., 1991.
"Forecasting, Structural Time Series Models and the Kalman Filter,"
Cambridge University Press, number 9780521405737, May.
- Harvey,Andrew C., 1990. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521321969, May.
- Henghsiu Tsai & K. S. Chan, 2005. "Temporal Aggregation of Stationary And Nonstationary Discrete-Time Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 613-624, July.
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- Man Kasing, 2010. "Extended Fractional Gaussian Noise and Simple ARFIMA Approximations," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-26, September.
- repec:hal:journl:peer-00815563 is not listed on IDEAS
- Michael A. Thornton & Marcus J. Chambers, 2013. "Continuous-time autoregressive moving average processes in discrete time: representation and embeddability," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(5), pages 552-561, September.
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