Multivariate Wavelet Whittle Estimation in Long-range Dependence

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

Sophie Achard, Irène Gannaz, Sophie Achard, Irène Gannaz

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

wavelets; covariance matrix; semiparametric estimation; fractional integration; long memory; functional connectivity; multivariate processes; neuroscience application

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H20: Measures of association (correlation, canonical correlation, etc.)

60G22: Fractional processes, including fractional Brownian motion

62M15: Inference from stochastic processes and spectral analysis

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