Adaptive wavelet based estimator of the memory parameter for stationary Gaussian processes

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dc.creatorBardet, Jean-Marc
dc.creatorBibi, Hatem
dc.creatorJouini, Abdellatif
dc.date2007-01-26
dc.date2008-02-04
dc.date.accessioned2026-07-07T09:28:41Z
dc.date.available2026-07-07T09:28:41Z
dc.descriptionThis 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.
dc.identifierhttps://arxiv.org/abs/math/0701770
dc.identifierhttp://arxiv.org/abs/math/0701770
dc.identifierBernoulli 14, 2 (2008) xx-xx
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/157516
dc.subjectStatistics Theory
dc.titleAdaptive wavelet based estimator of the memory parameter for stationary Gaussian processes
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