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On Estimating the Cumulant Generating Function of Linear Processes

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  • Sucharita Ghosh
  • Jan Beran

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  • Sucharita Ghosh & Jan Beran, 2006. "On Estimating the Cumulant Generating Function of Linear Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(1), pages 53-71, March.
    • Handle: RePEc:spr:aistmt:v:58:y:2006:i:1:p:53-71
    DOI: 10.1007/s10463-005-0009-5
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    References listed on IDEAS

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    1. Toshio Honda, 2000. "Nonparametric Density Estimation for a Long-Range Dependent Linear Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(4), pages 599-611, December.
    2. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Cited by:

    1. Jan Beran & Klaus Telkmann, 2021. "On inference for modes under long memory," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 429-455, June.
    2. Maria P. Braun & Simos G. Meintanis & Viatcheslav B. Melas, 2008. "Optimal Design Approach to GMM Estimation of Parameters Based on Empirical Transforms," International Statistical Review, International Statistical Institute, vol. 76(3), pages 387-400, December.
    3. Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020. "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE 137, Paderborn University, CIE Center for International Economics.
    4. Emanuele Taufer, 2008. "Characteristic function estimation of non-Gaussian Ornstein-Uhlenbeck processes," DISA Working Papers 0805, Department of Computer and Management Sciences, University of Trento, Italy, revised 07 Jul 2008.

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