Continuous-Time Stochastic Processes with Cyclical Long-Range Dependance
Anh, Vo V., Knopova, Viktoriya P., & Leonenko, Nikolai N. (2004) Continuous-Time Stochastic Processes with Cyclical Long-Range Dependance. Australian and New Zealand Journal of Statistics, 46(2), pp. 275-296.
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Abstract
We introduce continuous-time random processes whose spectral density is unbounded at some non-zero frequencies. The discretized versions of these processes have asymptotic properties similar to those of discrete-time Gegenbauer processes. We present some properties of the covariance function and spectral density as well as a theory of statistical estimation of the mean and covariance function of such processes. Some direction for further generalizations of the results are indicated.
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| ID Code: | 429 |
|---|---|
| Item Type: | Journal Article |
| Keywords: | continuous, time processes, simgular spectrum, long, range dependance, Gegenbauer process |
| DOI: | 10.1111/j.1467-842X.2004.00329.x |
| ISSN: | 1369-1473 |
| Subjects: | Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406) |
| Divisions: | Past > QUT Faculties & Divisions > Faculty of Science and Technology |
| Copyright Owner: | Copyright 2004 Blackwell Publishing |
| Copyright Statement: | The definitive version is available at www.blackwell-synergy.com |
| Deposited On: | 14 Sep 2004 |
| Last Modified: | 29 Feb 2012 23:03 |
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