Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood

DOI10.1016/J.CAM.2019.112609MaRDI QIDQ2297115zbMATHOpenAlexWikidataFDO

Authors Liang Wu, Yiming Ding

Publication date 18 February 2020

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2019.112609

zbMATH Keywords

Hurst parameterself-similarityfractional Brownian sheetwavelets transform

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Fractional processes, including fractional Brownian motion (60G22)

Recommendations

• Wavelet-based estimator for the Hurst parameters of fractional Brownian sheet
• Estimation of self-similar Gaussian fields using wavelet transform
• Remarks on parameter estimation for the drift of fractional Brownian sheet
• scientific article; zbMATH DE number 1258336
• Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet

Cites work

• scientific article; zbMATH DE number 2132202 (Why is no real title available?)
• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• scientific article; zbMATH DE number 1944327 (Why is no real title available?)
• scientific article; zbMATH DE number 934080 (Why is no real title available?)
• 2-D Wavelet Packet Spectrum for Texture Analysis
• 2D wavelet-based spectra with applications
• A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion
• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
• A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
• A wavelet‐based spectral method for extracting self‐similarity measures in time‐varying two‐dimensional rainfall maps
• An accurate algorithm to calculate the Hurst exponent of self-similar processes
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Estimation of anisotropic Gaussian fields through Radon transform
• Estimation of self-similar Gaussian fields using wavelet transform
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
• Estimators of long-memory: Fourier versus wavelets
• Fractional Brownian Motions, Fractional Noises and Applications
• Fundamentals of Wavelets
• Geometric properties of fractional Brownian sheets
• Heat equations with fractional white noise potentials
• Identification of the Multivariate Fractional Brownian Motion
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Linear fractional stable sheets: Wavelet expansion and sample path properties
• On a class of stochastic partial differential equations
• On a semilinear double fractional heat equation driven by fractional Brownian sheet
• Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Results on the supremum of fractional Brownian motion
• Self-Similar Anisotropic Texture Analysis: The Hyperbolic Wavelet Transform Contribution
• Spatial Process Simulation
• Statistical study of the wavelet analysis of fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Testing for the presence of self-similarity of Gaussian series having stationary increments
• Wavelet analysis and synthesis of fractional Brownian motion
• Wavelet analysis of long-range-dependent traffic
• Wavelet analysis of the multivariate fractional Brownian motion
• Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter
• Wavelet-based estimator for the Hurst parameters of fractional Brownian sheet

Cited in

(6)

• Estimation of fractional Brownian motion embedded in a noisy environment using nonorthogonal wavelets
• Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
• Testing for effects of cross-correlations on joint multifractality
• Wavelet-based estimator for the Hurst parameters of fractional Brownian sheet
• scientific article; zbMATH DE number 1552225 (Why is no real title available?)
• On optimal scale upper bound in wavelet-based estimation for hurst index of fractional Brownian motion

This page was built for publication: Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2297115)