Multivariate Wavelet Whittle Estimation in Long-range Dependence
Author:
Affiliation:
1. Univ. Grenoble Alpes; GIPSA-Lab; Grenoble F-38000 France
2. CNRS; GIPSA-Lab; Grenoble F-38000 France
3. Université de Lyon, CNRS UMR 5208, INSA de Lyon, Institut Camille Jordan; Lyon France
Funder
IXXI Research Institute
ANR project GRAPHSIP
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12170/fullpdf
Reference47 articles.
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4. Wavelet estimator of long-range dependent processes;Bardet;Statistical Inference for Stochastic Processes,2000
5. The simulation of random vector time series with given spectrum;Chambers;Mathematical and Computer Modelling,1995
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