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Quantization of long memory processes
Long-memory processes Round-off error Measurement error Log-periodogram regression Detrended fluctuation analysis Hermite polynomials
2011/10/9
Abstract: We study how quantization, occurring when a continuously varying process is approximated by or observed on a grid of discrete values, changes the properties of a Gaussian long-memory process...
Adaptive semiparametric wavelet estimator and goodness-of-fit test for long memory linear processes
Long range dependence linear processes wavelet estimator semiparametric estimator
2011/1/18
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet et al. (20...
Marginal density estimation for linear processes with seasonal long memory
Marginal density estimation linear processes seasonal long memory
2011/1/4
Some convergence results on the kernel density estimator are proven for a class of linear processes with seasonal effects. In particular we extend the results of Ho and Hsing (1996a) and Mielniczuk (1...