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math.ST2012
A Generalization of a Gaussian Semiparametric Estimator on Multivariate Long-Range Dependent Processes
Guilherme Pumi, Sílvia R. C. Lopes
In this paper we propose and study a general class of Gaussian Semiparametric Estimators (GSE) of the fractional differencing parameter in the context of long-range dependent multi…
math.ST2012★ 2 cited
Parameterization of Copulas and Covariance Decay of Stochastic Processes
Guilherme Pumi, Sílvia R. C. Lopes
In this work we study the problem of constructing stochastic processes with a predetermined covariance decay by parameterizing its marginals and a given family of copulas. We show…
math.ST2012★ 2 cited
Theoretical Results on FIEGARCH Processes
Sílvia R. C. Lopes, Taiane S. Prass
Here we present a theoretical study on the main properties of Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedastic (FIEGARCH) processes. We an…