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

Jiti Gao, Vo Anh and Christopher Heyde

MPRA Paper from University Library of Munich, Germany

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

Keywords: Asymptotic theory; fractional Riesz–Bessel motion; nonstationary process; long-range dependence; statistical estimation (search for similar items in EconPapers)
JEL-codes: C51 (search for similar items in EconPapers)
Date: 1999-12-13, Revised 2001-10-23
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Published in Stochastic Processes and Their Applications 1.99(2002): pp. 295-323

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Journal Article: Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency (2002)
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