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
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)
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