Multiple local whittle estimation in stationary systems

6 November 2008

Papers citing "Multiple local whittle estimation in stationary systems"

15 / 15 papers shown

Title
Estimation of the long-run variance of nonlinear time series with an application to change point analysis V. Characiejus P. Kokoszka Xiangdong Meng 36 0 0 03 Apr 2024
Fractional integration and cointegration J. Hualde M. Nielsen 27 0 0 18 Nov 2022
Local Whittle estimation with (quasi-)analytic wavelets S. Achard Irène Gannaz 18 1 0 28 Jun 2021
Asymptotic normality of wavelet covariances and of multivariate wavelet Whittle estimators Irène Gannaz 63 1 0 17 Dec 2020
On the invertibility in periodic ARFIMA models A. Amimour K. Belaide 11 0 0 07 Aug 2020
Wavelet-based and Fourier-based multivariate Whittle estimation: multiwave S. Achard Irène Gannaz 18 7 0 26 Nov 2018
$Wavelet eigenvalue regression for $n$-variate operator fractional Brownian motion$ Wavelet eigenvalue regression for $n$ -variate operator fractional Brownian motion P. Abry G. Didier 39 25 0 10 Aug 2017
$Multivariate Hadamard self-similarity: testing fractal connectivity$ Multivariate Hadamard self-similarity: testing fractal connectivity H. Wendt G. Didier Sébastien Combrexelle P. Abry 51 24 0 16 Jan 2017
Multivariate wavelet Whittle estimation in long-range dependence S. Achard Irène Gannaz 54 32 0 01 Dec 2014
Inference on power law spatial trends P. Robinson 73 21 0 11 May 2012
Gaussian stationary processes over graphs, general frame and maximum likelihood identification T. Espinasse Fabrice Gamboa Jean-Michel Loubes 59 1 0 19 Apr 2011
Identification of the Multivariate Fractional Brownian Motion P. Amblard Jean‐François Coeurjolly 80 61 0 14 Feb 2011
$Integral representations and properties of operator fractional Brownian motions$ Integral representations and properties of operator fractional Brownian motions G. Didier V. Pipiras 94 82 0 09 Feb 2011
Basic properties of the Multivariate Fractional Brownian Motion P. Amblard Jean‐François Coeurjolly F. Lavancier A. Philippe 95 68 0 06 Jul 2010
Covariance function of vector self-similar process F. Lavancier A. Philippe D. Surgailis 92 85 0 24 Jun 2009