Long-range Dependence: Revisiting Aggregation with Wavelets

DOI10.1111/1467-9892.00090MaRDI QIDQ3838303zbMATH OpenOpenAlexFDO

Authors Patrice Abry, D. Veitch, Patrick Flandrin

Publication date 27 October 1998

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00090

zbMATH Keywords

aggregationlong-range dependencewavelet transformself-similaritymultiresolution analysissecond order stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

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Cited in

(28)

• Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• The shifted wavelet (q,q')-entropy and the classification of stationary fractal signals
• Variance-type estimation of long memory
• Generalized wavelet Fisher's information of \(1 / f^\alpha\) signals
• Why FARIMA models are brittle
• Modelling and estimating heavy-tailed non-homogeneous correlated queues: Pareto-inverse gamma HGLM with covariates
• Computationally Efficient Atomic Representations for Nonstationary Stochastic Processes
• Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
• Wavelet-based estimation of anisotropic spatiotemporal long-range dependence
• Semiparametric estimation of spatial long-range dependence
• Dimensionality reduction and greedy learning of convoluted stochastic dynamics
• On estimating long range dependence of network delay
• Scaling properties of foreign exchange volatility
• Semi-parametric smoothing estimators for long-memory processes with added noise
• Large scale reduction principle and application to hypothesis testing
• EXPLORING MULTI-RESOLUTION AND MULTI-SCALING VOLATILITY FEATURES
• LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL
• A study of wavelet analysis and data extraction from second-order self-similar time series
• Parameter Estimation of Self-Similar Spatial Covariogram Models
• Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
• Fractal time series -- A tutorial review
• Aggregation of autoregressive random fields and anisotropic long-range dependence
• Wavelet scale analysis of bivariate time series i: motivation and estimation
• LASS: a tool for the local analysis of self-similarity
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• A wavelet-based joint estimator of the parameters of long-range dependence
• Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process

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