Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency
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
|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|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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- M. C. Viano & Cl. Deniau & G. Oppenheim, 1995. "Long-Range Dependence And Mixing For Discrete Time Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(3), pages 323-338, 05.
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- Peter M. Robinson, 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
- Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.
- Viano, M. C. & Deniau, C. & Oppenheim, G., 1994. "Continuous-time fractional ARMA processes," Statistics & Probability Letters, Elsevier, vol. 21(4), pages 323-336, November.
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