scientific article; zbMATH DE number 5629272

MaRDI QIDQ3643285zbMATH OpenFDO

Authors Juhyun Park, Cheolwoo Park

Publication date 11 November 2009

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J19N4/j19n410/j19n410.html

zbMATH Keywords

Hurst parameterlong-range dependencenon-stationaritiesrobustnesswavelet spectrum

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Estimating the Hurst parameter
• Estimation of the Hurst parameter from continuous noisy data
• Estimation of Hurst exponent revisited
• Hurst function estimation
• Estimation of Hurst parameter and minimum variance spectrum
• Estimation and testing of the Hurst parameter using p-variation
• Estimation of the Hurst parameter from discrete noisy data
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Fast and unbiased estimator of the time-dependent Hurst exponent
• Estimation of the Hurst parameter in some fractional processes

Cited in

(5)

• A wavelet lifting approach to long-memory estimation
• Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
• ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING
• Wavelet-based Hurst exponent estimation
• Robust estimation of the self-similarity parameter in network traffic using wavelet transform

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3643285)