CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
DOI10.1142/S0218348X07003721zbMATH Open1141.62073OpenAlexW2963882273MaRDI QIDQ3510243FDOQ3510243
Authors: Murad S. Taqqu, Eric Moulines, François Roueff 
Publication date: 2 July 2008
Published in: Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218348x07003721
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Cites Work
- Time series: theory and methods
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- 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
- Wavelet analysis of long-range-dependent traffic
- Statistical study of the wavelet analysis of fractional Brownian motion
- Estimation of the memory parameter of the infinite-source Poisson process
Cited In (18)
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- On least squares estimation for long-memory lattice processes
- Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
- On rate-optimal nonparametric wavelet regression with long memory moving average errors
- The asymptotic distribution of the pathwise mean squared displacement in single particle tracking experiments
- Estimators of long-memory: Fourier versus wavelets
- Estimation of long-range dependence in gappy Gaussian time series
- Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance
- On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
- Asymptotic normality of wavelet estimators of the memory parameter for linear processes
- Tempered fractional Brownian motion: wavelet estimation, modeling and testing
- Wavelet eigenvalue regression in high dimensions
- Locally stationary long memory estimation
- Fluid heterogeneity detection based on the asymptotic distribution of the time-averaged mean squared displacement in single particle tracking experiments
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
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