期刊名称：Latin American Journal of Probability and Mathematical Statistics
电子版ISSN：1980-0436
出版年度：2016
卷号：XIII
期号：2
页码：835-861
出版社：Instituto Nacional De Matemática Pura E Aplicada
摘要：A general type of a Split-BREAK process with Gaussian innovations(henceforth, Gaussian Split-BREAK or GSB process) is considered. The basic sto-chastic properties of the model are studied and its characteristic function derived.A procedure to estimate the parameter of the GSB model based on the EmpiricalCharacteristic Function (ECF) is proposed. Our simulations suggest that the pro-posed method performs well compared to a Method of Moment procedure used asbenchmark. The empirical use of the GSB model is illustrated with an applicationto the time series of total values of shares traded at Belgrade Stock Exchange.
