Time-varying long memory parameter estimation based on wavelets

MaRDI QIDQ4926620zbMATH OpenFDO

Authors Zhiping Lu, Qinying Tao

Publication date 20 June 2013

zbMATH Keywords

exchange ratelocally stationary long memory processsemi-parametric estimation

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for wavelets (65T60)

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(8)

• Function estimation via wavelet shrinkage for long-memory data
• Estimators of long-memory: Fourier versus wavelets
• Estimation of time-varying long memory parameter using wavelet method
• Long-memory wavelet models
• Approximate wavelet-based simulation of long memory processes
• Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
• Locally stationary long memory estimation
• A smooth transition long-memory model

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