Inference on fractal processes using multiresolution approximation

DOI10.1093/biomet/asm025zbMath1133.62068OpenAlexW1964065350MaRDI QIDQ5449354

Carmen Fernández, Kenneth J. Falconer

Publication date: 11 March 2008

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/asm025

zbMATH Keywords

fractional Brownian motionMarkov chain Monte Carlomultiresolution approximationgraphical modelfractal processtemporal modelling

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (4)

Time varying long memory parameter estimation for locally stationary long memory processes ⋮ Local linear estimation for regression models with locally stationary long memory errors ⋮ On parameter estimation for locally stationary long-memory processes ⋮ Statistical Estimation for a Class of Self‐Regulating Processes

This page was built for publication: Inference on fractal processes using multiresolution approximation