On asymptotically optimal wavelet estimation of trend functions under long-range dependence
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Publication:408094
DOI10.3150/10-BEJ332zbMATH Open1235.62124arXiv1203.0392MaRDI QIDQ408094FDOQ408094
Authors: Yevgen Shumeyko, Jan Beran 
Publication date: 29 March 2012
Published in: Bernoulli (Search for Journal in Brave)
Abstract: We consider data-adaptive wavelet estimation of a trend function in a time series model with strongly dependent Gaussian residuals. Asymptotic expressions for the optimal mean integrated squared error and corresponding optimal smoothing and resolution parameters are derived. Due to adaptation to the properties of the underlying trend function, the approach shows very good performance for smooth trend functions while remaining competitive with minimax wavelet estimation for functions with discontinuities. Simulations illustrate the asymptotic results and finite-sample behavior.
Full work available at URL: https://arxiv.org/abs/1203.0392
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Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)
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Cited In (4)
- Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations
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- Bootstrap testing for discontinuities under long-range dependence
- A wavelet-based joint estimator of the parameters of long-range dependence
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