Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets

DOI10.1088/1361-6420/ac48caOpenAlexW4205374700MaRDI QIDQ5030162

Ye Zhang, Chen Xu

Publication date: 16 February 2022

Published in: Inverse Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1361-6420/ac48ca

zbMATH Keywords

waveletstime seriesstochastic processspectral densitymemory parameterasymptotically consistentlog-regression

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx) Miscellaneous topics in partial differential equations (35Rxx) Nonparametric inference (62Gxx)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A wavelet lifting approach to long-memory estimation
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Stock market prices and long-range dependence
• Long-range dependence in the conditional variance of stock returns
• The detection and estimation of long memory in stochastic volatility
• Gaussian inference on certain long-range dependent volatility models
• Modeling long memory in stock market volatility
• A model for long memory conditional heteroscedasticity.
• Log-periodogram regression of time series with long range dependence
• Gaussian semiparametric estimation of long range dependence
• Modeling and pricing long memory in stock market volatility
• An \(M\)-estimator for the long-memory parameter
• Estimation of the memory parameter of the infinite-source Poisson process
• Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations
• Estimators of long-memory: Fourier versus wavelets
• Electromagnetic scattering on fractional Brownian surfaces and estimation of the Hurst exponent
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• 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
• Uniqueness in an inverse problem for a one-dimensional fractional diffusion equation
• Discrimination between monotonic trends and long-range dependence
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Long-Term Memory in Stock Market Prices
• Wavelet analysis of long-range-dependent traffic
• Atmospheric turbulence profiling with unknown power spectral density
• Estimation in a problem of fractional integration
• A contrast source inversion method in the wavelet domain
• An inverse random source problem for the time fractional diffusion equation driven by a fractional Brownian motion
• Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
• Probabilistic approach to limited-data computed tomography reconstruction
• Structural asset pricing theory with wavelets
• Optimal convergence rates for sparsity promoting wavelet-regularization in Besov spaces
• Estimating the division rate of the growth-fragmentation equation with a self-similar kernel
• Regularized wavelet-based multiresolution recovery of the harmonic mass density distribution from data of the Earth's gravitational field at satellite height
• Fractional Brownian Motions, Fractional Noises and Applications
• Minimax theory for a class of nonlinear statistical inverse problems
• Numerical solution of an inverse random source problem for the time fractional diffusion equation via PhaseLift

This page was built for publication: Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets