Comparative evaluation of semiparametric long-memory estimators

DOI10.1080/10629360500108848MaRDI QIDQ5475370zbMATH OpenOpenAlexFDO

Authors L. De Giovanni, Maurizio Naldi

Publication date 16 June 2006

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360500108848

zbMATH Keywords

wavelet transformstatistical inferencetelecommunication networksself similar processeslong-range dependence process simulation

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Communication networks in operations research (90B18)

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Cites work

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• Correlation structure of the discrete wavelet coefficients of fractional Brownian motion
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• ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING
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• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
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• The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion
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Cited in

(2)

• The effect of tapering on the semiparametric estimators for nonstationary long memory processes
• Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance

Describes a project that uses

Uses Software

• longmemo

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