Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
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Publication:1795571
DOI10.1016/j.jmva.2018.06.007zbMath1397.62291arXiv1708.03359OpenAlexW2963256090MaRDI QIDQ1795571
Publication date: 16 October 2018
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.03359
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15) Self-similar stochastic processes (60G18)
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On operator fractional Lévy motion: integral representations and time-reversibility, Wavelet eigenvalue regression in high dimensions, Two-step wavelet-based estimation for Gaussian mixed fractional processes
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