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Type: Journal article
Title: Parameter Estimation of Stochastic Processes with Long-range Dependence and Intermittency
Author: Gao, Jiti
Anh, Vo
Heyde, Chris
Tieng, Quang
Citation: Journal of Time Series Analysis, 2001; 22 (5):517-535
Publisher: Wiley-Blackwell
Issue Date: 2001
ISSN: 0143-9782
School/Discipline: School of Economics
Statement of
Jiti Gao , Vo Anh , Chris Heyde & Quang Tieng
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.
Description: © 2001 Blackwell Publishers Ltd.
DOI: 10.1111/1467-9892.00239
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Appears in Collections:Economics publications

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