منابع مشابه
Pseudo maximum likelihood estimation for differential equations
We consider a set of deterministic differential equations describing the temporal evolution of some system of interest, and containing an unknown finite-dimensional parameter to infer. The observations of the solution of the set of differential equations are assumed to be stochastically disturbed by two sorts of uncertainties: the state variables of the system are measured with errors, and they...
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where d 2 ( 1 2 ; 1 2 ) is the parameter that governs the degree of memory of the series. This is the interval of values of d for which the process is stationary and invertible. If d 2 (0; 1 2 ) then we say that the series exhibits long memory or long range dependence. When the observations are nonstationary, they are usually di erenced an integer number of times to achieve stationarity. If an ...
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ژورنال
عنوان ژورنال: Econometrica
سال: 1984
ISSN: 0012-9682
DOI: 10.2307/1913471