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

Jiti Gao, Vo Anh, Chris Heyde, Quang Tieng

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24 Citations (Scopus)


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
Issue number5
Publication statusPublished - 1 Jan 2001


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

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