Evaluating the GPH Estimator via Bootstrap Technique

DOI10.1007/978-3-642-57489-4_50zbMath1440.62012OpenAlexW1887689373MaRDI QIDQ3298704

Silvia Golia

Publication date: 15 July 2020

Published in: Compstat (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57489-4_50

zbMATH Keywords

bootstrapdiscrete wavelet transformlong memory processGPH estimator

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Uses Software

• longmemo
• bootstrap

Cites Work

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• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• The jackknife and the bootstrap for general stationary observations
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Ten Lectures on Wavelets
• The Stationary Bootstrap
• On blocking rules for the bootstrap with dependent data
• Fractional Brownian Motions, Fractional Noises and Applications

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