Inference on fractal processes using multiresolution approximation

DOI10.1093/BIOMET/ASM025MaRDI QIDQ5449354zbMATH OpenOpenAlexFDO

Authors Carmen Fernández, Kenneth J. Falconer

Publication date 11 March 2008

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asm025

zbMATH Keywords

fractal processfractional Brownian motiongraphical modelMarkov chain Monte Carlomultiresolution approximationtemporal modelling

Mathematics Subject Classification ID

Brownian motion (60J65) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(7)

• On parameter estimation for locally stationary long-memory processes
• A Fourier-wavelet Monte Carlo method for fractal random fields
• Biases in the simulation and analysis of fractal processes
• Estimation of intrinsic processes affected by additive fractal noise
• Time varying long memory parameter estimation for locally stationary long memory processes
• Statistical estimation for a class of self-regulating processes
• Local linear estimation for regression models with locally stationary long memory errors

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