Self-similarity index estimation via wavelets for locally self-similar processes

DOI10.1016/S0378-3758(01)00075-1zbMath0989.62045OpenAlexW2091831956MaRDI QIDQ5954821

Yazhen Wang, Chang Yong Song, Joseph E. Cavanaugh

Publication date: 2 July 2002

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(01)00075-1

zbMATH Keywords

time serieslong memorylong-range dependencefractalslocal stationarity

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) Non-Markovian processes: estimation (62M09)

Related Items (5)

Discretization of continuous time discrete scale invariant processes: estimation and spectra ⋮ Testing self-similarity through Lamperti transformations ⋮ Minimal model of diffusion with time changing Hurst exponent ⋮ A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) ⋮ Bayesian methods for change-point detection in long-range dependent processes

Cites Work

• Characterization of self-similar multifractals with wavelet maxima
• Note on convergence rates of semiparametric estimators of dependence index
• Gaussian semiparametric estimation of long range dependence
• Periodogram-based estimators of fractal properties
• The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• An Approximate Wavelet MLE of Short- and Long-Memory Parameters
• Ten Lectures on Wavelets
• Ideal spatial adaptation by wavelet shrinkage
• SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS
• Fractional Brownian Motions, Fractional Noises and Applications
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