Continuous‐Time Stochastic Processes with Cyclical Long‐Range Dependence
Vo Anh, Victoria Knopova, Nikolai N. Leonenko · Australian & New Zealand Journal of Statistics · 2004
Summary This paper introduces 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. The paper presents 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 directions for further generalizations of the results are indicated.