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

From MaRDI portal
Publication:3077662

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




Related Items (19)

Minimum Contrast Parameter Estimation for Fractal Random Fields Based on the Wavelet PeriodogramEstimators of long-memory: Fourier versus waveletsCentral limit theorems for arrays of decimated linear processesWavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range DependenceA wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameterAsymptotic normality of a Hurst parameter estimator based on the modified Allan varianceWavelet semi-parametric inference for long memory in volatility in the presence of a trendLarge scale behavior of wavelet coefficients of non-linear subordinated processes with long memoryEstimating the Mean Direction of Strongly Dependent Circular Time SeriesWavelet eigenvalue regression in high dimensionsAdaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processesSpectral estimation on the sphere with needlets: high frequency asymptoticsLarge scale reduction principle and application to hypothesis testingLocally stationary long memory estimationMODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSESWavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihoodEstimation of long-range dependence in gappy Gaussian time seriesAsymptotic normality of wavelet covariances and multivariate wavelet Whittle estimatorsEstimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets


Uses Software


Cites Work


This page was built for publication: Asymptotic normality of wavelet estimators of the memory parameter for linear processes