A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
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Publication:939668
DOI10.1214/07-AOS527zbMath1142.62062arXivmath/0601070OpenAlexW3100938107MaRDI QIDQ939668
Murad S. Taqqu, Eric Moulines, François Roueff
Publication date: 28 August 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0601070
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15)
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