Periodogram-based estimators of fractal properties

DOI10.1214/aos/1176324319zbMath0843.62090MaRDI QIDQ1914265

D. S. Poskitt, Grace Chan, Hall, Peter

Publication date: 21 August 1996

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176324319

zbMATH Keywords

frequency; asymptotic distribution; consistency; variance; fractal dimension; bias; periodogram; covariance; self-similar process; aliasing; fractal index; simple linear regression; continuous, stationary Gaussian process; cosine component; semiperiodogram

Mathematics Subject Classification ID

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

62G05: Nonparametric estimation

62M15: Inference from stochastic processes and spectral analysis

65C99: Probabilistic methods, stochastic differential equations

Related Items

Local Hölder exponent estimation for multivariate continuous time processes, Moment bounds and central limit theorem for functions of Gaussian vectors, Self-similarity index estimation via wavelets for locally self-similar processes, Estimators of fractal dimension: assessing the roughness of time series and spatial data, Tail estimation of the spectral density for a stationary Gaussian random field, Global smoothness estimation of a Gaussian process from general sequence designs, A class of negatively fractal dimensional Gaussian random functions, mBm-based scalings of traffic propagated in internet, Variance bound of ACF estimation of one block of fGn with LRD, Record length requirement of long-range dependent teletraffic, Semi-parametric regression estimation of the tail index, Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients, Estimation of fractal dimension for a class of non-Gaussian stationary processes and fields., Abstract description of Internet traffic of generalized Cauchy type, Multi-fractional generalized Cauchy process and its application to teletraffic, Fractal teletraffic delay bounds in computer networks, Generalized Cauchy model of sea level fluctuations with long-range dependence, A general class of multifractional processes and stock price informativeness, Local Detection Of Defects From Image Sequences