On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
DOI10.1111/j.1467-9892.2006.00502.xzbMath1150.62058arXivmath/0512635OpenAlexW2038902078MaRDI QIDQ3505314
Murad S. Taqqu, Eric Moulines, François Roueff
Publication date: 18 June 2008
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0512635
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Inference from stochastic processes and spectral analysis (62M15)
Related Items (37)
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