Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes

DOI10.1109/TSP.2005.851111MaRDI QIDQ5356667zbMATH OpenFDO

Authors Peter F. Craigmile, Peter Guttorp, Donald B. Percival

Publication date 20 September 2017

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2005.851111

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Numerical methods for wavelets (65T60)

Cited in

(22)

• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study
• Estimation of long-range dependence in gappy Gaussian time series
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Tempered fractional Brownian motion: wavelet estimation, modeling and testing
• Wavelet eigenvalue regression in high dimensions
• On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
• Wavelet-domain test for long-range dependence in the presence of a trend
• An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
• First-order bias correction for fractionally integrated time series
• Wavelet based transistor parameter estimation using second order Volterra model
• Approximate wavelet-based simulation of long memory processes
• A wavelet solution to the spurious regression of fractionally differenced processes
• A wavelet-based Bayesian approach to regression models with long memory errors and its application to fMRI data
• Modelling for the wavelet coefficients of ARFIMA processes
• Adaptive wavelet decompositions of stationary time series
• Space‐time modelling of trends in temperature series
• Trend locally stationary wavelet processes
• Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
• A queued variational mode decomposition method
• On the empirical spectral distribution of large wavelet random matrices based on mixed-Gaussian fractional measurements in moderately high dimensions
• On high-dimensional wavelet eigenanalysis

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