论文标题
具有相同lambda的FOU（P）过程的参数估计
Parameter estimation for the FOU(p) process with the same lambda
论文作者
论文摘要
FOU（P）过程可以视为模型时间序列的ARMA（或ARFIMA）过程的替代方法。同样，当我们使用具有相同lambda的FOU（P）过程对时间序列进行建模时，就没有实质性的损失，而不是使用Lambda的不同值。在这项工作中，我们提出了一种新方法，以估计lambda在FOU（P）过程中的独特价值。在某些条件下，我们将证明一致性和渐近正态性。我们将证明这种新方法更容易计算。通过模拟，我们表明新过程效果很好，并且比一般方法更有效。另外，我们包括对真实数据的应用程序，我们表明新方法也很好地工作，并且表现优于ARMA家族（P，Q）。
The FOU(p) processes can be considered as an alternative to ARMA (or ARFIMA) processes to model time series. Also, there is no substantial loss when we model a time series using FOU(p) processes with the same lambda, than using differents values of lambda. In this work we propose a new method to estimate the unique value of lambda in a FOU(p) process. Under certain conditions, we will prove consistency and asymptotic normality. We will show that this new method is more easy and fast to compute. By simulations, we show that the new procedure work well and is more efficient than the general method. Also, we include an application to real data, and we show that the new method work well too and outperforms the family of ARMA(p, q).
