Estimation of long-range dependence in gappy Gaussian time series

DOI10.1007/S11222-019-09874-0zbMath1436.62417DBLPjournals/sac/CraigmileM20OpenAlexW2936411794WikidataQ98189709 ScholiaQ98189709MaRDI QIDQ2302477

Debashis Mondal, Peter F. Craigmile

Publication date: 26 February 2020

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7394483

zbMATH Keywords

Hurst indexmissing datapower lawsandwich estimatorbetween-wavelet-scale correlationself-similar noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to environmental and related topics (62P12) Inference from stochastic processes and spectral analysis (62M15) Missing data (62D10)

Uses Software

• R
• sapa
• wmtsa

Cites Work

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