Oscillating Gaussian processes

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Journal Title
Journal ISSN
Volume Title
A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
Date
2020-10
Major/Subject
Mcode
Degree programme
Language
en
Pages
Series
Statistical Inference for Stochastic Processes
Abstract
In this article we introduce and study oscillating Gaussian processes defined by Xt=α+Yt1Yt>0+α-Yt1Yt<0, where α+, α-> 0 are free parameters and Y is either stationary or self-similar Gaussian process. We study the basic properties of X and we consider estimation of the model parameters. In particular, we show that the moment estimators converge in Lp and are, when suitably normalised, asymptotically normal.
Description
Keywords
Central limit theorem, Gaussian processes, Oscillating processes, Parameter estimation, Self-similarity, Stationarity
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Citation
Ilmonen , P , Torres , S & Viitasaari , L 2020 , ' Oscillating Gaussian processes ' , Statistical Inference for Stochastic Processes , vol. 23 , no. 3 , pp. 571-593 . https://doi.org/10.1007/s11203-020-09212-6