Multivariate Wavelet Whittle Estimation in Long-range Dependence

DOI10.1111/jtsa.12170zbMath1359.62356arXiv1412.0391OpenAlexW2127692359MaRDI QIDQ145476

Irène Gannaz, Sophie Achard, Irène Gannaz, Sophie Achard

Publication date: 10 November 2015

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

Full work available at URL: https://arxiv.org/abs/1412.0391

zbMATH Keywords

waveletscovariance matrixsemiparametric estimationfractional integrationlong memoryfunctional connectivitymultivariate processesneuroscience application

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15)

Related Items (5)

Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ multiwave ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes ⋮ Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators

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