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dc.contributor.authorGao, Jitien
dc.contributor.authorAnh, Voen
dc.contributor.authorHeyde, Chrisen
dc.contributor.authorTieng, Quangen
dc.identifier.citationJournal of Time Series Analysis, 2001; 22 (5):517-535en
dc.description© 2001 Blackwell Publishers Ltd.en
dc.description.abstractThis 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.en
dc.description.statementofresponsibilityJiti Gao , Vo Anh , Chris Heyde & Quang Tiengen
dc.titleParameter Estimation of Stochastic Processes with Long-range Dependence and Intermittencyen
dc.typeJournal articleen
dc.contributor.schoolSchool of Economicsen
Appears in Collections:Economics publications

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