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

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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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instance of

scholarly article

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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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cites work

Q4849984

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Wavelet analysis of long-range-dependent traffic

0 references

Q4865042

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Modeling and pricing long memory in stock market volatility

0 references

Estimating the division rate of the growth-fragmentation equation with a self-similar kernel

0 references

The detection and estimation of long memory in stochastic volatility

0 references

Estimation in a problem of fractional integration

0 references

Uniqueness in an inverse problem for a one-dimensional fractional diffusion equation

0 references

Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes

0 references

Q3502469

0 references

Long-range dependence in the conditional variance of stock returns

0 references

Q2871232

0 references

Estimators of long-memory: Fourier versus wavelets

0 references

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

0 references

An inverse random source problem for the time fractional diffusion equation driven by a fractional Brownian motion

0 references

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

0 references

A model for long memory conditional heteroscedasticity.

0 references

Numerical solution of an inverse random source problem for the time fractional diffusion equation via PhaseLift

0 references

AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

0 references

Electromagnetic scattering on fractional Brownian surfaces and estimation of the Hurst exponent

0 references

Q4328700

0 references

Atmospheric turbulence profiling with unknown power spectral density

0 references

Optimal convergence rates for sparsity promoting wavelet-regularization in Besov spaces

0 references

Fractional differencing

0 references

Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations

0 references

Structural asset pricing theory with wavelets

0 references

Q4076577

0 references

A wavelet lifting approach to long-memory estimation

0 references

Discrimination between monotonic trends and long-range dependence

0 references

A contrast source inversion method in the wavelet domain

0 references

Modeling long memory in stock market volatility

0 references

Long-Term Memory in Stock Market Prices

0 references

Fractional Brownian Motions, Fractional Noises and Applications

0 references

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

0 references

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

0 references

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

0 references

Q5480287

0 references

Q3323077

0 references

Probabilistic approach to limited-data computed tomography reconstruction

0 references

Minimax theory for a class of nonlinear statistical inverse problems

0 references

An \(M\)-estimator for the long-memory parameter

0 references

Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

0 references

Gaussian semiparametric estimation of long range dependence

0 references

Log-periodogram regression of time series with long range dependence

0 references

Q5688319

0 references

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

0 references

Q3400728

0 references

Stock market prices and long-range dependence

0 references

Gaussian inference on certain long-range dependent volatility models

0 references

Identifiers

Mathematics Subject Classification ID

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0 references

0 references

0 references

0 references

10.1088/1361-6420/AC48CA

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5030162

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+Wavelet analysis of long-range-dependent traffic
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+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+Estimating the division rate of the growth-fragmentation equation with a self-similar kernel
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Estimation in a problem of fractional integration
@@ Property / cites work: Estimation in a problem of fractional integration / rank @@
+Normal rank
@@ Property / cites work @@
+Uniqueness in an inverse problem for a one-dimensional fractional diffusion equation
+Normal rank
@@ Property / cites work @@
+Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
+Normal rank
@@ Property / cites work @@
+Q3502469
@@ Property / cites work: Q3502469 / rank @@
+Normal rank
@@ Property / cites work @@
+Long-range dependence in the conditional variance of stock returns
+Normal rank
@@ Property / cites work @@
+Q2871232
@@ Property / cites work: Q2871232 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimators of long-memory: Fourier versus wavelets
+Normal rank
@@ Property / cites work @@
+Estimation of the memory parameter of the infinite-source Poisson process
+Normal rank
@@ Property / cites work @@
+An inverse random source problem for the time fractional diffusion equation driven by a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+A model for long memory conditional heteroscedasticity.
+Normal rank
@@ Property / cites work @@
+Numerical solution of an inverse random source problem for the time fractional diffusion equation via PhaseLift
+Normal rank
@@ Property / cites work @@
+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
+Normal rank
@@ Property / cites work @@
+Electromagnetic scattering on fractional Brownian surfaces and estimation of the Hurst exponent
+Normal rank
@@ Property / cites work @@
+Q4328700
@@ Property / cites work: Q4328700 / rank @@
+Normal rank
@@ Property / cites work @@
+Atmospheric turbulence profiling with unknown power spectral density
+Normal rank
@@ Property / cites work @@
+Optimal convergence rates for sparsity promoting wavelet-regularization in Besov spaces
+Normal rank
@@ Property / cites work @@
+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
+Normal rank
@@ Property / cites work @@
+Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
+Normal rank
@@ Property / cites work @@
+Structural asset pricing theory with wavelets
@@ Property / cites work: Structural asset pricing theory with wavelets / rank @@
+Normal rank
@@ Property / cites work @@
+Q4076577
@@ Property / cites work: Q4076577 / rank @@
+Normal rank
@@ Property / cites work @@
+A wavelet lifting approach to long-memory estimation
+Normal rank
@@ Property / cites work @@
+Discrimination between monotonic trends and long-range dependence
+Normal rank
@@ Property / cites work @@
+A contrast source inversion method in the wavelet domain
+Normal rank
@@ Property / cites work @@
+Modeling long memory in stock market volatility
@@ Property / cites work: Modeling long memory in stock market volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Regularized wavelet-based multiresolution recovery of the harmonic mass density distribution from data of the Earth's gravitational field at satellite height
+Normal rank
@@ Property / cites work @@
+On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
+Normal rank
@@ Property / cites work @@
+CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
+Normal rank
@@ Property / cites work @@
+Q5480287
@@ Property / cites work: Q5480287 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Probabilistic approach to limited-data computed tomography reconstruction
+Normal rank
@@ Property / cites work @@
+Minimax theory for a class of nonlinear statistical inverse problems
+Normal rank
@@ Property / cites work @@
+An \(M\)-estimator for the long-memory parameter
@@ Property / cites work: An \(M\)-estimator for the long-memory parameter / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation of long range dependence
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Q5688319
@@ Property / cites work: Q5688319 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic normality of wavelet estimators of the memory parameter for linear processes
+Normal rank
@@ Property / cites work @@
+Q3400728
@@ Property / cites work: Q3400728 / rank @@
+Normal rank
@@ Property / cites work @@
+Stock market prices and long-range dependence
@@ Property / cites work: Stock market prices and long-range dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian inference on certain long-range dependent volatility models
+Normal rank
@@ Property / DOI @@
+.1088/1361-6420/AC48CA
@@ Property / DOI: 10.1088/1361-6420/AC48CA / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
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