Asymptotic normality of wavelet estimators of the memory parameter for linear processes

DOI10.1111/j.1467-9892.2009.00627.xzbMath1224.62068arXiv0805.0778OpenAlexW2593708593MaRDI QIDQ3077662

Murad S. Taqqu, François Roueff

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.0778

zbMATH Keywords

wavelet analysissemiparametric estimationspectral analysislong-range dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Related Items (19)

Minimum Contrast Parameter Estimation for Fractal Random Fields Based on the Wavelet Periodogram ⋮ Estimators of long-memory: Fourier versus wavelets ⋮ Central limit theorems for arrays of decimated linear processes ⋮ Wavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range Dependence ⋮ A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter ⋮ Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance ⋮ Wavelet semi-parametric inference for long memory in volatility in the presence of a trend ⋮ Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory ⋮ Estimating the Mean Direction of Strongly Dependent Circular Time Series ⋮ Wavelet eigenvalue regression in high dimensions ⋮ Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes ⋮ Spectral estimation on the sphere with needlets: high frequency asymptotics ⋮ Large scale reduction principle and application to hypothesis testing ⋮ Locally stationary long memory estimation ⋮ MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES ⋮ Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood ⋮ Estimation of long-range dependence in gappy Gaussian time series ⋮ Asymptotic normality of wavelet covariances and multivariate wavelet Whittle estimators ⋮ Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets

Uses Software

• LASS

Cites Work

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• Central limit theorems for arrays of decimated linear processes
• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
• LASS: a tool for the local analysis of self-similarity
• Gaussian semiparametric estimation of long range dependence
• Estimators of long-memory: Fourier versus wavelets
• On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
• CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
• Long-range Dependence: Revisiting Aggregation with Wavelets
• Wavelet analysis and synthesis of fractional Brownian motion
• RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
• Wavelet scale analysis of bivariate time series i: motivation and estimation
• Wavelet scale analysisof bivariate time series ii:statistical properties for linear processes
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series

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