Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study

DOI10.1007/s11009-008-9105-3zbMath1182.62177MaRDI QIDQ2270190

Agnieszka Jach, Piotr S. Kokoszka

Publication date: 15 March 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9105-3

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

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

62G20: Asymptotic properties of nonparametric inference

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

62G05: Nonparametric estimation

Related Items

Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models

Uses Software

• itsmr
• wmtsa

Cites Work

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