Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study
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Publication:2270190
DOI10.1007/s11009-008-9105-3zbMath1182.62177MaRDI QIDQ2270190
Agnieszka Jach, Piotr S. Kokoszka
Publication date: 15 March 2010
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-008-9105-3
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems
62G05: Nonparametric estimation
Related Items
Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models, Pseudo-maximum likelihood estimators in linear regression models with fractional time series
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Cites Work
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