Estimators of long-memory: Fourier versus wavelets (Q2628842): Difference between revisions

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English	Estimators of long-memory: Fourier versus wavelets	scientific article

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scholarly article

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Estimators of long-memory: Fourier versus wavelets (English)

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François Roueff

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Journal of Econometrics

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publication date

18 July 2016

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full work available at URL

https://arxiv.org/abs/0801.4329

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zbMATH Keywords

wavelet analysis

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long range dependence

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semiparametric estimation

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Nonstationarity-extended local Whittle estimation

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Wavelet analysis of long-range-dependent traffic

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A Bias-Reduced Log-Periodogram Regression Estimator for the Long-Memory Parameter

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Adaptive Local Polynomial Whittle Estimation of Long-range Dependence

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Testing for the Presence of Self-Similarity of Gaussian Time Series Having Stationary Increments

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Statistical study of the wavelet analysis of fractional Brownian motion

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Wavelet estimator of long-range dependent processes.

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Consistent estimation of the memory parameter for nonlinear time series

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Ten Lectures on Wavelets

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Long Memory in Nonlinear Processes

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Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment

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Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes.

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

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

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THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

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RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE

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

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The Estimation of the Prediction Error Variance

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An Efficient Taper for Potentially Overdifferenced Long-memory Time Series

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The FEXP estimator for potentially non-stationary linear time series.

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Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend

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Estimating Long Memory in Volatility

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ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES

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Fractal estimation from noisy data via discrete fractional Gaussian noise (DFGN) and the Haar basis

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A necessary and sufficient condition for asymptotic independence of discrete Fourier transforms under short- and long-range dependence

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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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Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series

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Efficient Tests of Nonstationary Hypotheses

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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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Higher-order kernel semiparametric M-estimation of long memory

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

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Exact local Whittle estimation of fractional integration

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Local Whittle estimation of fractional integration and some of its variants

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LASS: a tool for the local analysis of self-similarity

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THE NONSTATIONARY FRACTIONAL UNIT ROOT

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

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ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING

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Meaningful MRA initialization for discrete time series.

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Gaussian Semiparametric Estimation of Non-stationary Time Series

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Non-stationary log-periodogram regression

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NON-GAUSSIAN LOG-PERIODOGRAM REGRESSION

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Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series

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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.JECONOM.2009.03.005

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Sitelinks

Mathematics(1 entry)

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