On asymptotically optimal wavelet estimation of trend functions under long-range dependence
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Abstract: We consider data-adaptive wavelet estimation of a trend function in a time series model with strongly dependent Gaussian residuals. Asymptotic expressions for the optimal mean integrated squared error and corresponding optimal smoothing and resolution parameters are derived. Due to adaptation to the properties of the underlying trend function, the approach shows very good performance for smooth trend functions while remaining competitive with minimax wavelet estimation for functions with discontinuities. Simulations illustrate the asymptotic results and finite-sample behavior.
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Cited in
(4)- Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
- Gaussian linear model selection in a dependent context
- Bootstrap testing for discontinuities under long-range dependence
- A wavelet-based joint estimator of the parameters of long-range dependence
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