Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
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Publication:1002547
Abstract: This work is intended as a contribution to a wavelet-based adaptive estimator of the memory parameter in the classical semi-parametric framework for Gaussian stationary processes. In particular we introduce and develop the choice of a data-driven optimal bandwidth. Moreover, we establish a central limit theorem for the estimator of the memory parameter with the minimax rate of convergence (up to a logarithm factor). The quality of the estimators are attested by simulations.
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Cites work
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Cited in
(12)- Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
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- Large scale reduction principle and application to hypothesis testing
- Gaussian stationary processes: Adaptive wavelet decompositions, discrete approximations, and their convergence
- Classifying heartrate by change detection and wavelet methods for emergency physicians
- Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
- A new process for modeling heartbeat signals during exhaustive run with an adaptive estimator of its fractal parameters
- Shrinkage estimation of the memory parameter in stationary Gaussian processes
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic
- Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
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