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Wavelets and estimation of long memory in nonstationary models: Does anything beat the exact local whittle estimator?
Heni Boubaker
Mohamed Boutahar
R. Khalfaoui
Published in:
Commun. Stat. Simul. Comput. (2017)
Keyphrases
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non stationary
random fields
parameter estimation
autoregressive
least squares
wavelet transform
multiresolution
parametric models
probabilistic model
signal processing
basis functions
concept drift
long range
stock price
empirical mode decomposition
fractional brownian motion