Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
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Publication:1940755
DOI10.3150/11-BEJ398zbMath1288.62061arXiv1011.4370MaRDI QIDQ1940755
O. Kouamo, Eric Moulines, Céline Lévy-Leduc
Publication date: 7 March 2013
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1011.4370
robustnesswavelet analysissemiparametric estimationlong-range dependencescale estimatormemory parameter estimator
Nonparametric regression and quantile regression (62G08) Central limit and other weak theorems (60F05) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15) Numerical methods for wavelets (65T60)
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Expectiles for subordinated Gaussian processes with applications, Estimation of long-range dependence in gappy Gaussian time series
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