Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter

DOI10.1007/s10986-011-9126-4zbMath1294.62185OpenAlexW2089941882MaRDI QIDQ392762

Patrice Abry, Hannes Helgason, Vladas Pipiras

Publication date: 15 January 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-011-9126-4

zbMATH Keywords

waveletlong-range dependenceHurst parameterHermite ranknon-Gaussian processesnumber of vanishing moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

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Uses Software

• longmemo

Cites Work

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