Statistical estimation of nonstationary Gaussian processes with long range dependence and intermittency
-
Altmetric Citations
Heyde, C C; Gao, Jiangrui; Anh, Phan Thi Vang
Description
This paper considers statistical inference for nonstationary Gaussian processes with long-range dependence and intermittency. The existence of such a process has been established by Anh et al. (J. Statist. Plann. Inference 80 (1999) 95-110). We systematically consider the case where the spectral density of nonstationary Gaussian processes with stationary increments is of a general and flexible form. The spectral density function of fRBm is thus a special case of this general form. A continuous...[Show more]
Collections | ANU Research Publications |
---|---|
Date published: | 2002 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/92581 |
Source: | Stochastic Processes and their Applications |
DOI: | 10.1016/S0304-4149(02)00092-3 |
Download
File | Description | Size | Format | Image |
---|---|---|---|---|
01_Heyde_Statistical_estimation_of_2002.pdf | 269.6 kB | Adobe PDF | Request a copy |
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.
Updated: 17 November 2022/ Responsible Officer: University Librarian/ Page Contact: Library Systems & Web Coordinator