Wavelet estimation for operator fractional Brownian motion

DOI10.3150/15-BEJ790zbMath1432.60045arXiv1501.06094MaRDI QIDQ2405206

Patrice Abry, Gustavo Didier

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.06094

zbMATH Keywords

waveletsoperator fractional Brownian motionHurst matrix

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

Related Items (9)

Tangent fields, intrinsic stationarity, and self similarity ⋮ Tempered fractional Brownian motion: wavelet estimation, modeling and testing ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Wavelet eigenvalue regression in high dimensions ⋮ Wavelet estimation in OFBM: choosing scale parameter in different sampling methods and different parameter values ⋮ Statistical challenges in microrheology ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes ⋮ Asymptotic theory for the detection of mixing in anomalous diffusion

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