Locally stationary long memory estimation

Stochastic Processes and their Applications

Volumn 121, Issue 4, 2011, Pages 813-844

  Roueff, Franoçis ^a   Von Sachs, Rainer ^b  

^a INSTITUT TELECOM   (France)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Locally stationary process; Long memory; Semi parametric estimation; Wavelets

Indexed keywords

ASYMPTOTIC BEHAVIORS; DATA EXAMPLES; GENERAL APPROACH; LONG MEMORIES; LONG MEMORY; OBSERVED DATA; PARAMETRIC MODELS; SEMI-PARAMETRIC ESTIMATION; SEMIPARAMETRIC; STATIONARY PROCESS; TIME VARYING; TIME-DEPENDENT; WAVELET ESTIMATORS; WAVELETS;

BEHAVIORAL RESEARCH; TIME SERIES;

PARAMETER ESTIMATION;

EID: 79951674301     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2010.12.004     Document Type: Article

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