Parameter Estimation of Stochastic Processes with Long‐range Dependence and Intermittency

Jiti Gao, Vo Anh, Chris Heyde and Quang Tieng

Journal of Time Series Analysis, 2001, vol. 22, issue 5, 517-535

Abstract: This paper considers the case where a stochastic process may display both long‐range dependence and second‐order intermittency. The existence of such a process is established in Anh, Angulo and Ruiz‐Medina (1999). We systematically study the estimation of parameters involved in the spectral density function of a process with long‐range dependence and second‐order intermittency. An estimation procedure for the parameters is given. Numerical results are presented to support the estimation procedure proposed in this paper.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:22:y:2001:i:5:p:517-535

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