Adaptive wavelet based estimator of the memory parameter for stationary Gaussian processesReport as inadecuate




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1 SAMOS - Statistique Appliquée et MOdélisation Stochastique 2 CES - Centre d-économie de la Sorbonne 3 DéPARTEMENT DE MATHéMATIQUES - Département de Mathématiques, Faculté des Sciences de

Abstract : This work is intended as a contribution to a wavelet-based adaptive estimator of the memory parameter in the classical semi-parametric framework for Gaussian stationary processes. In particular we introduce and develop the choice of a data-driven optimal bandwidth. Moreover, we establish a central limit theorem for the estimator of the memory parameter with the minimax rate of convergence up to a logarithm factor. The quality of the estimators are attested by simulations.

Keywords : Adaptive estimator Long-memory processes Semi-parametric estimation Wavelet analysis





Author: Jean-Marc Bardet - Hatem Bibi - Abdellatif Jouini -

Source: https://hal.archives-ouvertes.fr/



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