Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion (Q1795571)

scientific article

Language	Label	Description	Also known as
English	Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion	scientific article

Statements

instance of

scholarly article

0 references

title

Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion (English)

0 references

0 references

0 references

Journal of Multivariate Analysis

0 references

publication date

16 October 2018

0 references

full work available at URL

https://arxiv.org/abs/1708.03359

0 references

zbMATH Keywords

eigenvalues

0 references

operator fractional Brownian motion

0 references

operator self-similarity

0 references

wavelets

0 references

describes a project that uses

longmemo

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Wavelet estimation for operator fractional Brownian motion

0 references

Wavelet analysis of long-range-dependent traffic

0 references

Multivariate Wavelet Whittle Estimation in Long-range Dependence

0 references

Identification of the Multivariate Fractional Brownian Motion

0 references

Statistical study of the wavelet analysis of fractional Brownian motion

0 references

Q4407623

0 references

Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process

0 references

Parameter estimation of selfsimilarity exponents

0 references

Q4865042

0 references

Long-Memory Processes

0 references

Operator scaling stable random fields

0 references

Central limit theorems for non-linear functionals of Gaussian fields

0 references

Asymptotic properties of computationally efficient alternative estimators for a class of multivariate normal models

0 references

Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes

0 references

EXPLICIT CONSTRUCTION OF OPERATOR SCALING GAUSSIAN RANDOM FIELDS

0 references

An optimality result about sample path properties of Operator Scaling Gaussian Random Fields

0 references

Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

0 references

Wavelet analysis of the multivariate fractional Brownian motion

0 references

Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes

0 references

Efficient parameter estimation for self-similar processes

0 references

Ten Lectures on Wavelets

0 references

Exponents of operator self-similar random fields

0 references

Domain and range symmetries of operator fractional Brownian fields

0 references

Integral representations and properties of operator fractional Brownian motions

0 references

Exponents, symmetry groups and classification of operator fractional Brownian motions

0 references

Non-central limit theorems for non-linear functional of Gaussian fields

0 references

Q3149666

0 references

Wavelet analysis and synthesis of fractional Brownian motion

0 references

Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

0 references

Non-Linear Wavelet Regression and Branch & Bound Optimization for the Full Identification of Bivariate Operator Fractional Brownian Motion

0 references

AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

0 references

Local Whittle estimator for anisotropic random fields

0 references

Determination of cointegrating rank in partially non‐stationary processes via a generalised von‐Neumann criterion

0 references

Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding

0 references

Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding

0 references

Fractional differencing

0 references

The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence

0 references

A limit theory for long-range dependence and statistical inference on related models

0 references

Semiparametric inference in multivariate fractionally cointegrated systems

0 references

Gaussian pseudo-maximum likelihood estimation of fractional time series models

0 references

Operator-Self-Similar Processes in a Finite-Dimensional Space

0 references

DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES

0 references

Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?

0 references

Operator self similar stochastic processes in \(R^ n\).

0 references

On determination of cointegration ranks

0 references

Multivariate operator-self-similar random fields

0 references

CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES

0 references

Operator-self-similar stable processes

0 references

Q4488070

0 references

Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier

0 references

Fractional Brownian Motions, Fractional Noises and Applications

0 references

Weak convergence of multivariate fractional processes

0 references

Semiparametric fractional cointegration analysis

0 references

Sample Path Properties of Operator-Slef-Similar Gaussian Random Fields

0 references

The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion

0 references

Moment estimator for random vectors with heavy tails

0 references

CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT

0 references

On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter

0 references

A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series

0 references

Local Whittle estimation of multi-variate fractionally integrated processes

0 references

Fully modified narrow‐band least squares estimation of weak fractional cointegration

0 references

A storage model with self-similar input

0 references

Testing for cointegration using principal components methods

0 references

Long-Range Dependence and Self-Similarity

0 references

Scaling transition for long-range dependent Gaussian random fields

0 references

Gaussian semiparametric estimation of long range dependence

0 references

Log-periodogram regression of time series with long range dependence

0 references

Multiple local Whittle estimation in stationary systems

0 references

Determination of cointegrating rank in fractional systems.

0 references

The averaged periodogram estimator for a power law in coherency

0 references

Gaussian semiparametric estimation of multivariate fractionally integrated processes

0 references

Exact local Whittle estimation of fractionally cointegrated systems

0 references

Estimation of the self-similarity parameter in linear fractional stable motion.

0 references

Weak convergence to fractional brownian motion and to the rosenblatt process

0 references

Convergence of integrated processes of arbitrary Hermite rank

0 references

Q4407596

0 references

Inference of Bivariate Long-memory Aggregate Time Series

0 references

A wavelet-based joint estimator of the parameters of long-range dependence

0 references

Q4894817

0 references

Q3605398

0 references

Identifiers

zbMATH Open document ID

1397.62291

0 references

DOI

10.1016/j.jmva.2018.06.007

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1795571