Oscillating Gaussian processes
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A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä
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23
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Statistical Inference for Stochastic Processes, Volume 23, issue 3, pp. 571-593
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
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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