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

被引：7

作者：

Bardet, Jean-Marc ^{[1
]}

Bibi, Hatem ^{[1
]}

Jouini, Abdellatif ^{[2
]}

机构：

[1] Univ Paris 01, Samos Matisse CES, CNRS, UMR 8174, F-75013 Paris, France

[2] Fac Sci Tunis, Dept Math, Tunis 1060, Tunisia

来源：

BERNOULLI | 2008年 / 14卷 / 03期

关键词：

wavelet analysis; long range dependence; memory parameter; semi-parametric estimation; adaptive estimation;

D O I：

10.3150/07-BEJ6151

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This work is intended as a contribution to the theory of 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 (Lip to a logarithm factor). The quality of the estimators is demonstrated via simulations.

引用

页码：691 / 724

页数：34

共 50 条

[31] Parameter estimation of locally stationary wavelet processes
Johnson, A
Li, CC
WAVELETS: APPLICATIONS IN SIGNAL AND IMAGE PROCESSING X, PTS 1 AND 2, 2003, 5207 : 858 - 867
[32] Wavelet-Based Transistor Parameter Estimation
Sudipta Majumdar
Harish Parthasarathy
Circuits, Systems and Signal Processing, 2010, 29 : 953 - 970
[33] Tests of correlation among wavelet-based estimates for long memory processes
De Giovanni, Livia
Naldi, Maurizio
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2008, 37 (02) : 301 - 313
[34] Wavelet-based restoration with tunable parameter
Sandor, V
Park, SK
VISUAL INFORMATION PROCESSING VIII, 1999, 3716 : 18 - 28
[35] Wavelet-Based Transistor Parameter Estimation
Majumdar, Sudipta
Parthasarathy, Harish
CIRCUITS SYSTEMS AND SIGNAL PROCESSING, 2010, 29 (05) : 953 - 970
[36] Non-stationary long memory parameter estimate based on wavelet
Hou, Junfang, 1600, Sila Science, University Mah Mekan Sok, No 24, Trabzon, Turkey (32):
[37] Non-stationary long memory parameter estimate based on wavelet
Zhengzhou Tourism College, Henan, China
J. Chem. Pharm. Res., 7 (2650-2654):
[38] Bayesian wavelet-based methods for the detection of multiple changes of the long memory parameter
Ko, Kyungduk
Vannucci, Marina
IEEE TRANSACTIONS ON SIGNAL PROCESSING, 2006, 54 (11) : 4461 - 4470
[39] Adaptive wavelet-based signal dejittering
Testoni, Nicola
Speciale, Nicolo
Ridolfi, Andrea
Pouzat, Christophe
2007 PH.D RESEARCH IN MICROELECTRONICS AND ELECTRONICS, 2007, : 257 - +
[40] Wavelet-based adaptive image deconvolution
Figueiredo, MAT
Nowak, RD
2002 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH, AND SIGNAL PROCESSING, VOLS I-IV, PROCEEDINGS, 2002, : 1685 - 1688

← 1 2 3 4 5 →