Parameter Estimation of Stochastic Processes with Long-range Dependence and Intermittency

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.