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Estimators of long-memory: Fourier versus wavelets · Study

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ArticleEstimators of long-memory: Fourier versus wavelets

Gilles Faÿ2009

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Articlegreen2009

Estimators of long-memory: Fourier versus wavelets

Gilles Faÿ · Éric Moulines · François Roueff · Murad S. Taqqu

91 citations·0/0 files stored·Journal of Econometrics

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

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References

1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1995Gaussian Semiparametric Estimation of Long Range Dependence 1995Log-Periodogram Regression of Time Series with Long Range Dependence 2003Theory and applications of long-range dependence 1998Wavelet analysis of long-range-dependent traffic 1994Efficient Tests of Nonstationary Hypotheses 2002Exact Local Whittle Estimation of Fractional \nIntegration

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2011Maximum-likelihood estimators in the mixed fractional Brownian motion

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Year2009

Typearticle

Published2009-03-21

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations91

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.jeconom.2009.03.005

openalex_workW2011413345

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