Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion (Q1795571): Difference between revisions

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English	Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion	scientific article

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scholarly article

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Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion (English)

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Journal of Multivariate Analysis

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publication date

16 October 2018

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full work available at URL

https://arxiv.org/abs/1708.03359

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zbMATH Keywords

eigenvalues

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operator fractional Brownian motion

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operator self-similarity

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wavelets

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Wavelet estimation for operator fractional Brownian motion

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Wavelet analysis of long-range-dependent traffic

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Multivariate Wavelet Whittle Estimation in Long-range Dependence

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Identification of the Multivariate Fractional Brownian Motion

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Statistical study of the wavelet analysis of fractional Brownian motion

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Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process

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Parameter estimation of selfsimilarity exponents

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Long-Memory Processes

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Operator scaling stable random fields

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Central limit theorems for non-linear functionals of Gaussian fields

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Asymptotic properties of computationally efficient alternative estimators for a class of multivariate normal models

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

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EXPLICIT CONSTRUCTION OF OPERATOR SCALING GAUSSIAN RANDOM FIELDS

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An optimality result about sample path properties of Operator Scaling Gaussian Random Fields

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Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

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Wavelet analysis of the multivariate fractional Brownian motion

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Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes

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Efficient parameter estimation for self-similar processes

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Ten Lectures on Wavelets

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Exponents of operator self-similar random fields

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Domain and range symmetries of operator fractional Brownian fields

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Integral representations and properties of operator fractional Brownian motions

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Exponents, symmetry groups and classification of operator fractional Brownian motions

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Non-central limit theorems for non-linear functional of Gaussian fields

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Wavelet analysis and synthesis of fractional Brownian motion

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Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

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Non-Linear Wavelet Regression and Branch & Bound Optimization for the Full Identification of Bivariate Operator Fractional Brownian Motion

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

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Local Whittle estimator for anisotropic random fields

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Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion

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Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding

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Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding

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Fractional differencing

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The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence

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A limit theory for long-range dependence and statistical inference on related models

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Semiparametric inference in multivariate fractionally cointegrated systems

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Gaussian pseudo-maximum likelihood estimation of fractional time series models

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Operator-Self-Similar Processes in a Finite-Dimensional Space

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DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES

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Mixed-correlated ARFIMA processes for power-law cross-correlations

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Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?

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Operator self similar stochastic processes in \(R^ n\).

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On determination of cointegration ranks

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Multivariate operator-self-similar random fields

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CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES

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Operator-self-similar stable processes

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Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier

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Fractional Brownian Motions, Fractional Noises and Applications

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Weak convergence of multivariate fractional processes

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Semiparametric fractional cointegration analysis

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Sample Path Properties of Operator-Slef-Similar Gaussian Random Fields

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The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion

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Moment estimator for random vectors with heavy tails

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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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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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A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series

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Local Whittle estimation of multi-variate fractionally integrated processes

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Fully modified narrow‐band least squares estimation of weak fractional cointegration

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A storage model with self-similar input

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Testing for cointegration using principal components methods

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Long-Range Dependence and Self-Similarity

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Scaling transition for long-range dependent Gaussian random fields

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Gaussian semiparametric estimation of long range dependence

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Log-periodogram regression of time series with long range dependence

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Multiple local Whittle estimation in stationary systems

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Determination of cointegrating rank in fractional systems.

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The averaged periodogram estimator for a power law in coherency

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Gaussian semiparametric estimation of multivariate fractionally integrated processes

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Exact local Whittle estimation of fractionally cointegrated systems

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Estimation of the self-similarity parameter in linear fractional stable motion.

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Weak convergence to fractional brownian motion and to the rosenblatt process

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Convergence of integrated processes of arbitrary Hermite rank

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Inference of Bivariate Long-memory Aggregate Time Series

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A wavelet-based joint estimator of the parameters of long-range dependence

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.JMVA.2018.06.007

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Sitelinks

Mathematics(1 entry)

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