Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes

DOI10.1214/12-EJS754zbMath1295.62082arXiv1012.0690OpenAlexW2963380069WikidataQ105584263 ScholiaQ105584263MaRDI QIDQ1950908

Jean-Marc Bardet, Hatem Bibi

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.0690

zbMATH Keywords

adaptive estimatorlinear processeslong range dependencewavelet estimatorsemiparametric estimatoradaptive goodness-of-fit test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

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