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Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency

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Author Info
Gao, jiti
Anh, vo
Heyde, christopher

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Abstract

This paper considers statistical inference for nonstationaryGaussian processes with long-range dependence and intermittency. The existence of such a process has been established by Anh et al. (J. Statist. Plann. Inference 80 (1999) 95–110). We systematically consider the case where the spectral densityof nonstationaryGaussian processes with stationaryincrements is of a general and

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File URL: http://mpra.ub.uni-muenchen.de/11972/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 11972.

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Date of creation: 13 Dec 1999
Date of revision: 23 Oct 2001
Publication status: Published in Stochastic Processes and Their Applications 1.99(2002): pp. 295-323
Handle: RePEc:pra:mprapa:11972

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Related research
Keywords: Asymptotic theory; fractional Riesz–Bessel motion; nonstationary process; long-range dependence; statistical estimation;

Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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