CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
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Publication:3510243
Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Central limit and other weak theorems (60F05) Gaussian processes (60G15) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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Cites work
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Estimation of the memory parameter of the infinite-source Poisson process
- Gaussian semiparametric estimation of long range dependence
- On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
- RATE OPTIMAL SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF THE GAUSSIAN TIME SERIES WITH LONG‐RANGE DEPENDENCE
- Statistical study of the wavelet analysis of fractional Brownian motion
- Time series: theory and methods
- Wavelet analysis of long-range-dependent traffic
Cited in
(21)- On least squares estimation for long-memory lattice processes
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance
- Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
- Estimation of long-range dependence in gappy Gaussian time series
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
- On rate-optimal nonparametric wavelet regression with long memory moving average errors
- Estimators of long-memory: Fourier versus wavelets
- Tempered fractional Brownian motion: wavelet estimation, modeling and testing
- Wavelet eigenvalue regression in high dimensions
- Asymptotic normality of wavelet estimators of the memory parameter for linear processes
- Fluid heterogeneity detection based on the asymptotic distribution of the time-averaged mean squared displacement in single particle tracking experiments
- On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
- Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
- The asymptotic distribution of the pathwise mean squared displacement in single particle tracking experiments
- Locally stationary long memory estimation
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- On the empirical spectral distribution of large wavelet random matrices based on mixed-Gaussian fractional measurements in moderately high dimensions
- Nonlinear log-wavelet-variance regression for perturbed 2D long memory Gaussian random fields
- On high-dimensional wavelet eigenanalysis
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
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