Wavelet-Variance-Based Estimation for Composite Stochastic Processes

DOI10.1080/01621459.2013.799920MaRDI QIDQ97868OpenAlexWikidataFDO

Authors Stéphane Guerrier, Jan Skaloud, Yannick Stebler, Maria-Pia Victoria-Feser, Stéphane Guerrier, Jan Skaloud, Yannick Stebler, Maria-Pia Victoria-Feser

Publication date September 2013

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/01621459.2013.799920

zbMATH Keywords

Kalman filtertime seriesAllan variancesignal processing

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(6)

• Limit distribution of a risk estimate using the vaguelette-wavelet decomposition of signals in a model with correlated noise
• Wavelet variances for heavy-tailed time series
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• simts
• Automatic modeling algorithm of stochastic error for inertial sensors

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