Bayesian Nonparametric Estimation of the Spectral Density of a Long or Intermediate Memory Gaussian Process

Judith Rousseau, Nicolas Chopin and Brunero Liseo
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Judith Rousseau: Crest

No 2010-38, Working Papers from Center for Research in Economics and Statistics

Abstract: A stationary Gaussian process is said to be long-range dependent (resp., anti-persistent) if its spectral density f(?)f(?) can be written as f(?)=|?|-2dg(|?|)f(?)=|?|-2dg(|?|), where 0

Pages: 34
Date: 2010
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