Parameter estimation of stochastic process with long-range dependence and intermittency

DOI10.1111/1467-9892.00239MaRDI QIDQ2759336zbMATH OpenOpenAlexFDO

Authors Vo V. Anh, Jiti Gao, Christopher C. Heyde, Quang Tieng

Publication date 12 December 2001

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00239

zbMATH Keywords

asymptotic theoryfractional Riesz-Bessel motionlong-range dependencesecond-order intermittencyspectral density

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

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Cited in

(25)

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• Parameter estimation in mean reversion processes with deterministic long-term trend
• On the Whittle estimator of the parameter of spectral density of random noise in the nonlinear regression model
• Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency.
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• On the Whittle estimator for linear random noise spectral density parameter in continuous-time nonlinear regression models
• Estimation of longrun variance of continuous time stochastic process using discrete sample
• Parameter estimation for Lévy-driven continuous-time linear models with tapered data
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
• Spectral analysis of multifractional LRD functional time series
• Statistical estimation for stationary models with tapered data
• Statistical inference for stationary linear models with tapered data
• Statistical inference using higher-order information
• On the Whittle estimators for some classes of continuous-parameter random processes and fields
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing
• Econometric estimation in long-range dependent volatility models: theory and practice
• Robust estimation for continuous-time linear models with memory
• Error bounds for approximations of traces of products of truncated Toeplitz operators
• Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
• Quasi-likelihood-based higher-order spectral estimation of random fields with possible long-range dependence
• The trace problem for Toeplitz matrices and operators and its impact in probability
• On the robustness to small trends of parameter estimation for continuous-time stationary models with memory
• On the estimation of locally stationary long-memory processes
• Truncated estimator of asymptotic covariance matrix in partially linear models with heteroscedastic errors
• Minimum contrast estimation of random processes based on information of second and third orders

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