Wavelet variances for heavy-tailed time series
From MaRDI portal
Publication:6615745
DOI10.1002/env.2563zbMath1546.62945MaRDI QIDQ6615745
Rodney V. Fonseca, L. Zhang, Dipankar Mondal
Publication date: 8 October 2024
Published in: Environmetrics (Search for Journal in Brave)
discrete wavelet transformtail indexWeibull distributionHill estimatorDaubechies waveletcharacteristic scalestable asymptotics
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Wavelet-Variance-Based Estimation for Composite Stochastic Processes
- \(M\)-estimation of wavelet variance
- Precise tabulation of the maximally-skewed stable distributions and densities
- On the controversy over tailweight of distributions.
- The flood probability distribution tail: How heavy is it?
- Wavelet variance analysis for gappy time series
- Limit theory for the sample covariance and correlation functions of moving averages
- On tail index estimation using dependent data
- Time series: theory and methods.
- A simple general approach to inference about the tail of a distribution
- Periodic moving averages of random variables with regularly varying tails
- How to make a Hill plot.
- On Tail Categorization of Probability Laws
- Asymptotic Decorrelation of Between-Scale Wavelet Coefficients
- Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
- Ten Lectures on Wavelets
- The discrete wavelet transform: wedding the a trous and Mallat algorithms
- Nonparametric Statistical Data Modeling
- Comparison of tail index estimators
- Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
- Consistency of Hill's estimator for dependent data
- On estimation of the wavelet variance
- A Sturdy Reduced-Bias Extreme Quantile (VaR) Estimator
- Heavy-Tail Phenomena
- Assessing characteristic scales using wavelets
This page was built for publication: Wavelet variances for heavy-tailed time series
