Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets (Q5030162): Difference between revisions

Latest revision as of 15:41, 30 December 2024

scientific article; zbMATH DE number 7474160

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English	Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets	scientific article; zbMATH DE number 7474160

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title

Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets (English)

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16 February 2022

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zbMATH Keywords

time series

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memory parameter

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wavelets

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spectral density

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asymptotically consistent

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log-regression

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stochastic process

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describes a project that uses

longmemo

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1088/1361-6420/ac48ca

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Long-range dependence in the conditional variance of stock returns

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Estimation of the memory parameter of the infinite-source Poisson process

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Structural asset pricing theory with wavelets

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Regularized wavelet-based multiresolution recovery of the harmonic mass density distribution from data of the Earth's gravitational field at satellite height

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On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter

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CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT

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Asymptotic normality of wavelet estimators of the memory parameter for linear processes

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Identifiers

Mathematics Subject Classification ID

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10.1088/1361-6420/AC48CA

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Sitelinks

Mathematics(1 entry)

mardi Publication:5030162

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