Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study
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Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites work
- A model for long memory conditional heteroscedasticity.
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
- Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
- Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
- Estimating Heavy-Tail Exponents Through Max Self–Similarity
- Gaussian semiparametric estimation of long range dependence
- Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
- scientific article; zbMATH DE number 1301878 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 1944327 (Why is no real title available?)
- Limit theory for the sample covariance and correlation functions of moving averages
- Log-periodogram regression of time series with long range dependence
- Network heavy traffic modeling using α-stable self-similar processes
- On discriminating between long-range dependence and changes in mean
- Parameter estimation for infinite variance fractional ARIMA
- SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes
- Wavelet-domain test for long-range dependence in the presence of a trend
- Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
Cited in
(8)- Pseudo-maximum likelihood estimators in linear regression models with fractional time series
- A wavelet solution to the spurious regression of fractionally differenced processes
- Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
- Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
- Wavelet variances for heavy-tailed time series
- Robust estimation of the self-similarity parameter in network traffic using wavelet transform
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