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
Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Gaussian processes (60G15) Central limit and other weak theorems (60F05) 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
(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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