Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes

DOI10.1051/ps/2012026zbMath1310.42023arXiv1105.1011OpenAlexW2963585909MaRDI QIDQ5174343

Ciprian A. Tudor, Murad S. Taqqu, Marianne Clausel, François Roueff

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.1011

zbMATH Keywords

wavelet analysisHermite polynomialRosenblatt processself-similar processesWiener chaoslong memory parameterwavelet coefficientsHermite processesscalogramnon-Gaussian stochastic processes

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Generalized stochastic processes (60G20) Self-similar stochastic processes (60G18)

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