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

DOI10.1007/s11009-008-9105-3zbMath1182.62177OpenAlexW2077967166MaRDI 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

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05)

Related Items (2)

Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models ⋮ Pseudo-maximum likelihood estimators in linear regression models with fractional time series

Uses Software

• itsmr
• wmtsa

Cites Work

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