Estimation of time-varying long memory parameter using wavelet method

DOI10.1080/03610918.2010.549986MaRDI QIDQ3015869zbMATH OpenOpenAlexFDO

Authors Zhiping Lu, Dominique Guegan

Publication date 13 July 2011

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2010.549986

zbMATH Keywords

discrete wavelet packet transformGegenbauer processnon stationarityordinary least square estimation

Mathematics Subject Classification ID

Stochastic processes (60G99) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60) Statistical methods; risk measures (91G70)

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Cites work

• A generalized fractionally differencing approach in long-memory modeling
• A k-Factor GARMA Long-memory Model
• A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Fractional differencing
• scientific article; zbMATH DE number 1465030 (Why is no real title available?)
• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• Large-sample properties of the periodogram estimator of seasonally persistent processes
• Log-periodogram regression of time series with long range dependence
• Minimum-bandwidth discrete-time wavelets
• Testing for a change of the long-memory parameter
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

Cited in

(13)

• Fractionally differenced Gegenbauer processes with long memory: a review
• Estimation methods for stationary Gegenbauer processes
• A new time-varying model for forecasting long-memory series
• Estimation of long memory in volatility using wavelets
• Identification of chaos-periodic transitions, band merging, and internal crisis using wavelet-DFA method
• Wavelet estimation for locally self-similar processes
• Approximate wavelet-based simulation of long memory processes
• Time-varying long memory parameter estimation based on wavelets
• Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
• Locally stationary long memory estimation
• Inference for estimators of generalized long memory processes
• Conditional sum of squares estimation of \(k\)-factor GARMA models
• Bayesian Nonparametric Spectral Analysis of Locally Stationary Processes

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