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

MoreLess

Year of publication:	1999-12-13
Authors:	Gao, jiti ; Anh, vo ; Heyde, christopher
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Asymptotic theory \| fractional Riesz–Bessel motion \| nonstationary process \| long-range dependence \| statistical estimation

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Published in Stochastic Processes and Their Applications 1.99(2002): pp. 295-323
Classification:	C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005836896