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

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.

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

• Item Type: MPRA Paper
• Language: English
• Keywords: Asymptotic theory; fractional Riesz–Bessel motion; nonstationary process; long-range dependence; statistical estimation
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation

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