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

DOI10.1016/j.jmva.2018.06.007zbMath1397.62291arXiv1708.03359OpenAlexW2963256090MaRDI QIDQ1795571

Gustavo Didier, Patrice Abry

Publication date: 16 October 2018

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.03359

zbMATH Keywords

waveletseigenvaluesoperator fractional Brownian motionoperator self-similarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)

Related Items (3)

On operator fractional Lévy motion: integral representations and time-reversibility ⋮ Wavelet eigenvalue regression in high dimensions ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes

Uses Software

• longmemo

Cites Work

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