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Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/46522
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dc.contributor.authorGao, Jitien
dc.contributor.authorAnh, Voen
dc.contributor.authorHeyde, Chrisen
dc.contributor.authorTieng, Quangen
dc.date.issued2001en
dc.identifier.citationJournal of Time Series Analysis, 2001; 22 (5):517-535en
dc.identifier.issn0143-9782en
dc.identifier.urihttp://hdl.handle.net/2440/46522-
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.publisherWiley-Blackwellen
dc.source.urihttp://www3.interscience.wiley.com/journal/118981444/abstracten
dc.titleParameter Estimation of Stochastic Processes with Long-range Dependence and Intermittencyen
dc.typeJournal articleen
dc.contributor.schoolSchool of Economicsen
dc.identifier.doi10.1111/1467-9892.00239en
Appears in Collections:Economics publications

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