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Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency

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  • Gao, Jiti
  • Anh, Vo
  • Heyde, Chris

Abstract

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 version of the Gauss-Whittle objective function is proposed. Estimation procedures for the parameters involved in the spectral density function are then investigated. Both the consistency and the asymptotic normality of the estimators of the parameters are established. In addition, a real example is presented to demonstrate the applicability of the estimation procedures.

Suggested Citation

  • Gao, Jiti & Anh, Vo & Heyde, Chris, 2002. "Statistical estimation of nonstationary Gaussian processes with long-range dependence and intermittency," Stochastic Processes and their Applications, Elsevier, vol. 99(2), pages 295-321, June.
    • Handle: RePEc:eee:spapps:v:99:y:2002:i:2:p:295-321
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    1. Jiti Gao & Vo Anh & Chris Heyde & Quang Tieng, 2001. "Parameter Estimation of Stochastic Processes with Long‐range Dependence and Intermittency," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(5), pages 517-535, September.
    2. Hardle, Wolfgang & LIang, Hua & Gao, Jiti, 2000. "Partially linear models," MPRA Paper 39562, University Library of Munich, Germany, revised 01 Sep 2000.
    3. Heyde, C. C. & Gay, R., 1993. "Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 45(1), pages 169-182, March.
    4. M. C. Viano & Cl. Deniau & G. Oppenheim, 1995. "Long‐Range Dependence And Mixing For Discrete Time Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(3), pages 323-338, May.
    5. Clifford M. Hurvich & Rohit Deo & Julia Brodsky, 1998. "The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 19-46, January.
    6. Viano, M. C. & Deniau, C. & Oppenheim, G., 1994. "Continuous-time fractional ARMA processes," Statistics & Probability Letters, Elsevier, vol. 21(4), pages 323-336, November.
    7. Robinson, Peter M., 1997. "Large-sample inference for nonparametric regression with dependent errors," LSE Research Online Documents on Economics 302, London School of Economics and Political Science, LSE Library.
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    Cited by:

    1. Anh, V.V. & Leonenko, N.N. & Sakhno, L.M., 2007. "Statistical inference using higher-order information," Journal of Multivariate Analysis, Elsevier, vol. 98(4), pages 706-742, April.
    2. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
    3. Gao, Jiti, 2002. "Modeling long-range dependent Gaussian processes with application in continuous-time financial models," MPRA Paper 11973, University Library of Munich, Germany, revised 18 Sep 2003.
    4. Leonenko, N.N. & Sakhno, L.M., 2006. "On the Whittle estimators for some classes of continuous-parameter random processes and fields," Statistics & Probability Letters, Elsevier, vol. 76(8), pages 781-795, April.
    5. Casas, Isabel, 2008. "Estimation of stochastic volatility with LRD," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 78(2), pages 335-340.

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    More about this item

    Keywords

    Asymptotic theory Fractional Riesz-Bessel motion Nonstationary process Long-range dependence Statistical estimation;

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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