Estimation of Time-Varying Long Memory Parameter Using Wavelet Method

DOI10.1080/03610918.2010.549986zbMath1217.62135OpenAlexW1968525954MaRDI QIDQ3015869

Dominique Guégan, Zhiping Lu

Publication date: 13 July 2011

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.549986

zbMATH Keywords

non stationarityGegenbauer processdiscrete wavelet packet transformordinary least square estimation

Mathematics Subject Classification ID

Related Items (6)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ A new time-varying model for forecasting long-memory series ⋮ Inference for estimators of generalized long memory processes ⋮ Identification of Chaos-Periodic Transitions, Band Merging, and Internal Crisis Using Wavelet-DFA Method ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets ⋮ Estimation methods for stationary Gegenbauer processes

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• A k-Factor GARMA Long-memory Model
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