Wavelet-based confidence intervals for the self-similarity parameter

DOI10.1080/00949650701587855MaRDI QIDQ3615036zbMATH OpenOpenAlexFDO

Authors Agnieszka Jach, Piotr Kokoszka

Publication date 17 March 2009

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650701587855

zbMATH Keywords

bootstrapconfidence intervalsself-similaritysubsamplingwavelets

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Numerical methods for wavelets (65T60)

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Cites work

• Estimation of the self-similarity parameter in linear fractional stable motion.
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1470722 (Why is no real title available?)
• Network heavy traffic modeling using α-stable self-similar processes
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• Ten Lectures on Wavelets

Cited in

(4)

• Estimation of self-similar Gaussian fields using wavelet transform
• Confidence intervals for the long memory parameter based on wavelets and resampling
• Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
• Wavelet-based Hurst exponent estimation

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