Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion

DOI10.1016/j.jmva.2018.06.007zbMath1397.62291arXiv1708.03359MaRDI QIDQ1795571

Gustavo Didier, Patrice Abry

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

zbMATH Keywords

wavelets; eigenvalues; operator fractional Brownian motion; operator self-similarity

Mathematics Subject Classification ID

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

60G22: Fractional processes, including fractional Brownian motion

62M15: Inference from stochastic processes and spectral analysis

60G18: Self-similar stochastic processes

Related Items

On operator fractional Lévy motion: integral representations and time-reversibility, Two-step wavelet-based estimation for Gaussian mixed fractional processes, Wavelet eigenvalue regression in high dimensions

Uses Software

• longmemo

Cites Work

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