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

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Year of publication:	1999-12-13
Authors:	Gao, jiti ; Anh, vo ; Heyde, christopher

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Gao, jiti and Anh, vo and Heyde, christopher (1999): Statistical estimation of nonstationaryGaussian processes with long-range dependence and intermittency. Published in: Stochastic Processes and Their Applications , Vol. 99, No. 1 (March 2002): pp. 295-323.
Classification:	C51 - Model Construction and Estimation
Source:	BASE

Persistent link: https://www.econbiz.de/10015271275