Parameter estimation of stochastic processes with long-range dependence and intermittency

Jiti Gao, Vo Anh, Chris Heyde, Quang Tieng

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22 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)517-535
Number of pages19
JournalJournal of Time Series Analysis
Volume22
Issue number5
DOIs
Publication statusPublished - 1 Jan 2001

Keywords

  • Asymptotic theory
  • Intermittency
  • Long-range dependence
  • Parameter estimation
  • Stochastic process

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