Wavelet Estimator of Long-Range Dependent Processes
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DOI: 10.1023/A:1009953000763
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- Clifford M. Hurvich & Rohit Deo & Julia Brodsky, 1998. "The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(1), pages 19-46, January.
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- Jean‐Marc Bardet & Pierre R. Bertrand, 2010. "A Non‐Parametric Estimator of the Spectral Density of a Continuous‐Time Gaussian Process Observed at Random Times," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(3), pages 458-476, September.
- Park, Cheolwoo & Godtliebsen, Fred & Taqqu, Murad & Stoev, Stilian & Marron, J.S., 2007. "Visualization and inference based on wavelet coefficients, SiZer and SiNos," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5994-6012, August.
- Stoev, Stilian & Taqqu, Murad S. & Park, Cheolwoo & Michailidis, George & Marron, J.S., 2006. "LASS: a tool for the local analysis of self-similarity," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2447-2471, May.
- Kirman, Alan & Teyssiere, Gilles, 2005. "Testing for bubbles and change-points," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 765-799, April.
- Muniandy, Sithi V. & Uning, Rosemary, 2006. "Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 585-598.
- Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Documents de travail du Centre d'Economie de la Sorbonne 15085, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
- Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
- Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01244239, HAL.
- Peng, Qidi & Zhao, Ran, 2018. "A general class of multifractional processes and stock price informativeness," Chaos, Solitons & Fractals, Elsevier, vol. 115(C), pages 248-267.
- Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
- Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Post-Print halshs-01244239, HAL.
- Bardet, J.-M. & Tudor, C.A., 2010. "A wavelet analysis of the Rosenblatt process: Chaos expansion and estimation of the self-similarity parameter," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2331-2362, December.
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Keywords
wavelet; long-range dependence;Statistics
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