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

Jiti Gao; V. Anh; C. Heyde; Q. Tieng

doi:10.1111/1467-9892.00239

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

Jiti Gao
, V. Anh
, C. Heyde
, Q. Tieng

Research output: Contribution to journal › Article › peer-review

26 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 language	English
Pages (from-to)	517-535
Journal	Journal of Time Series Analysis
Volume	22
Issue number	5
DOIs	https://doi.org/10.1111/1467-9892.00239
Publication status	Published - 2001

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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.",

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AU - Gao, Jiti

AU - Anh, V.

AU - Heyde, C.

AU - Tieng, Q.

PY - 2001

Y1 - 2001

N2 - 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.

AB - 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.

U2 - 10.1111/1467-9892.00239

DO - 10.1111/1467-9892.00239

M3 - Article

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VL - 22

SP - 517

EP - 535

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

IS - 5

ER -

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

Abstract

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