Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 11972.
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
Asymptotic theory; fractional Riesz–Bessel motion; nonstationary process; long-range dependence; statistical estimation;
Other versions of this item:
- Gao, Jiti & Anh, Vo & Heyde, Chris, 2002. "Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency," Stochastic Processes and their Applications, Elsevier, vol. 99(2), pages 295-321, June.
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
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11981, University Library of Munich, Germany, revised Aug 2007.
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