Heyde, C C; Gao, Jiangrui; Anh, Phan Thi Vang
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]
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