Two-step wavelet-based estimation for Gaussian mixed fractional processes
From MaRDI portal
Publication:2316337
DOI10.1007/s11203-018-9190-zzbMath1420.62366arXiv1607.05167OpenAlexW2889321016WikidataQ129321395 ScholiaQ129321395MaRDI QIDQ2316337
Hui Li, Gustavo Didier, Patrice Abry
Publication date: 26 July 2019
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.05167
waveletsdemixingoperator self-similarityfractional stochastic processmultivariate stochastic process
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)
Related Items (2)
Tempered fractional Brownian motion: wavelet estimation, modeling and testing ⋮ Wavelet eigenvalue regression in high dimensions
Uses Software
Cites Work
- Gaussian semiparametric estimation of multivariate fractionally integrated processes
- Multivariate Wavelet Whittle Estimation in Long-range Dependence
- Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders
- Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
- Exponents, symmetry groups and classification of operator fractional Brownian motions
- Exact local Whittle estimation of fractionally cointegrated systems
- Multivariate operator-self-similar random fields
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- Integral representations and properties of operator fractional Brownian motions
- How the instability of ranks under long memory affects large-sample inference
- Exponents of operator self-similar random fields
- Semiparametric inference in multivariate fractionally cointegrated systems
- Operator scaling stable random fields
- Efficient parameter estimation for self-similar processes
- A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
- Multiple local Whittle estimation in stationary systems
- Asymptotic properties of computationally efficient alternative estimators for a class of multivariate normal models
- Local Whittle estimator for anisotropic random fields
- Central limit theorems for non-linear functionals of Gaussian fields
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Operator self similar stochastic processes in \(R^ n\).
- Time series: theory and methods.
- Correlation theory of stationary and related random functions. Volume I: Basic results
- Operator-self-similar stable processes
- A limit theory for long-range dependence and statistical inference on related models
- Weak convergence of multivariate fractional processes
- Domain and range symmetries of operator fractional Brownian fields
- Multivariate Hadamard self-similarity: testing fractal connectivity
- Fractional {O}rnstein-{U}hlenbeck processes
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Estimation of the self-similarity parameter in linear fractional stable motion.
- Determination of cointegrating rank in fractional systems.
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
- Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
- Scaling transition for long-range dependent Gaussian random fields
- Wavelet estimation for operator fractional Brownian motion
- A simple test for the equality of integration orders
- Parameter estimation of selfsimilarity exponents
- The averaged periodogram estimator for a power law in coherency
- DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES
- EXPLICIT CONSTRUCTION OF OPERATOR SCALING GAUSSIAN RANDOM FIELDS
- Fully modified narrow‐band least squares estimation of weak fractional cointegration
- Long‐Memory Time Series
- On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
- CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
- Statistical Inference for Fractional Diffusion Processes
- Matrix Analysis
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Wavelet analysis and synthesis of fractional Brownian motion
- Ten Lectures on Wavelets
- The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Convergence of integrated processes of arbitrary Hermite rank
- Non-central limit theorems for non-linear functional of Gaussian fields
- CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
- Sample Path Properties of Operator-Slef-Similar Gaussian Random Fields
- Wavelet analysis of long-range-dependent traffic
- Joint Blind Source Separation by Multiset Canonical Correlation Analysis
- Identification of the Multivariate Fractional Brownian Motion
- Inference of Bivariate Long-memory Aggregate Time Series
- Non-Linear Wavelet Regression and Branch & Bound Optimization for the Full Identification of Bivariate Operator Fractional Brownian Motion
- 10.1162/jmlr.2003.4.7-8.1261
- Statistical study of the wavelet analysis of fractional Brownian motion
- A wavelet-based joint estimator of the parameters of long-range dependence
- Operator-Self-Similar Processes in a Finite-Dimensional Space
- Long-Memory Processes
- DATA MINING AND MACHINE LEARNING IN ASTRONOMY
- Local Whittle estimation of multi-variate fractionally integrated processes
- Basic properties of the Multivariate Fractional Brownian Motion
- Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
- An optimality result about sample path properties of Operator Scaling Gaussian Random Fields
- Long-Range Dependence and Self-Similarity
- Blind separation of instantaneous mixtures of nonstationary sources
- Non-orthogonal joint diagonalization in the least-squares sense with application in blind source separation
- Wavelet-based parameter estimation for polynomial contaminated fractionally differenced processes
- Statistical challenges in microrheology
- Wavelet analysis of the multivariate fractional Brownian motion
- Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
- Fractional Brownian Motions, Fractional Noises and Applications
- Independent Component Analysis and Blind Signal Separation
- Semiparametric fractional cointegration analysis
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Two-step wavelet-based estimation for Gaussian mixed fractional processes
