Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter
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long-range dependenceHurst parameterwaveletHermite ranknon-Gaussian processesnumber of vanishing moments
Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)
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- scientific article; zbMATH DE number 5666932
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Cites work
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- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
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- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Fractal‐Based Point Processes
- Image Processing and Data Analysis
- Long- and short-range dependent sequences under exponential subordination
- Long-range dependence and asymptotic self-similarity in third order
- Long-range dependence in higher order for non-Gaussian time series
- Properties of nonlinear transformations of fractionally integrated processes.
- Robust estimators in nonlinear regression models with long-range dependence
- Scaling, Fractals and Wavelets
- Spectral properties of superpositions of Ornstein-Uhlenbeck type processes
- Statistical study of the wavelet analysis of fractional Brownian motion
- Student processes
- Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding
- Testing for the presence of self-similarity of Gaussian series having stationary increments
- Wavelet analysis and synthesis of fractional Brownian motion
- Wavelet analysis of long-range-dependent traffic
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Whittle estimator for finite-variance non-Gaussian time series with long memory
Cited in
(12)- Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding
- Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
- On a localization property of wavelet coefficients for processes with stationary increments, and applications. II: Localization with respect to scale
- Large scale reduction principle and application to hypothesis testing
- Multifractal analysis of hydrologic data using wavelet methods and fluctuation analysis
- Estimation of self-similar Gaussian fields using wavelet transform
- A wavelet-based joint estimator of the parameters of long-range dependence
- Testing for effects of cross-correlations on joint multifractality
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- Long-range Dependence: Revisiting Aggregation with Wavelets
- Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood
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