Wavelet estimation of the memory parameter for long range dependent random fields

被引：1

作者：

Wang, Lihong ^{[1
]}

Wang, Jinde ^{[1
]}

机构：

[1] Nanjing Univ, Dept Math, Nanjing 210008, Jiangsu, Peoples R China

来源：

STATISTICAL PAPERS | 2014年 / 55卷 / 04期

基金：

中国国家自然科学基金;

关键词：

Asymptotic property; Long memory parameter; Long range dependent random fields; Wavelet coefficients; Wavelet estimation; SPECTRAL DENSITY; TIME-SERIES;

D O I：

10.1007/s00362-013-0558-2

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：

In this paper we study the estimation of the spatial long memory parameter for stationary long range dependent random fields using wavelet methods. We first show the relation between the wavelet coefficients of the random fields and its long memory parameter. Based on this relation, we construct a log-regression wavelet estimator of the long memory parameter. Under some mild regularity assumptions, the asymptotic properties of the estimators are investigated. Finally, a small simulation study illustrates the method.

引用

页码：1145 / 1158

页数：14

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