Parameter Estimation of Stochastic Processes with Long-range Dependence and Intermittency
Date
2001
Authors
Gao, Jiti
Anh, Vo
Heyde, Chris
Tieng, Quang
Editors
Advisors
Journal Title
Journal ISSN
Volume Title
Type:
Journal article
Citation
Journal of Time Series Analysis, 2001; 22 (5):517-535
Statement of Responsibility
Jiti Gao , Vo Anh , Chris Heyde & Quang Tieng
Conference Name
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.
School/Discipline
School of Economics
Dissertation Note
Provenance
Description
© 2001 Blackwell Publishers Ltd.