LASS: a tool for the local analysis of self-similarity

DOI10.1016/j.csda.2004.12.014zbMath1445.62240OpenAlexW2158384564MaRDI QIDQ959327

Murad S. Taqqu, George Michailidis, Stilian A. Stoev, Cheol-Woo Park, James Stephen Marron

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2004.12.014

zbMATH Keywords

waveletsself-similaritylong-range dependenceHurst parameterlocal self-similarityInternet trafficwavelet spectrum

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Self-similar stochastic processes (60G18)

Related Items (17)

Estimators of long-memory: Fourier versus wavelets ⋮ Discretization of continuous time discrete scale invariant processes: estimation and spectra ⋮ Piecewise FARIMA models for long-memory time series ⋮ Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context ⋮ \(M\)-estimation of wavelet variance ⋮ Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles ⋮ On locally self-similar fractional random fields indexed by a manifold ⋮ A wavelet characterization for the upper global Hölder index ⋮ The Scale Invariant Wigner Spectrum Estimation of Gaussian Locally Self-Similar Processes ⋮ A wavelet lifting approach to long-memory estimation ⋮ Asymptotic normality of wavelet estimators of the memory parameter for linear processes ⋮ Structural changes estimation for strongly dependent processes ⋮ LASS ⋮ Estimation of Hurst exponent revisited ⋮ Visualization and inference based on wavelet coefficients, SiZer and SiNos ⋮ Editorial: 2nd special issue on statistical signal extraction and filtering ⋮ Local asymptotic self-similarity for heavy-tailed harmonizable fractional Lévy motions

Uses Software

• longmemo

Cites Work

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