On the Spectral Density of the Wavelet Coefficients of Long‐Memory Time Series with Application to the Log‐Regression Estimation of the Memory Parameter

By Eric Moulines, Franccois Roueff, Murad S. Taqqu. 2005

110 citations recorded by the source corpus.

Abstract. In recent years, methods to estimate the memory parameter using wavelet analysis have gained popularity in many areas of science. Despite its widespread use, a rigorous semi‐parametric asymptotic theory, comparable with the one developed for Fourier methods, is still lacking. In this article, we adapt to the wavelet setting, the classical semi‐parametric framework introduced by Robinson and his co‐authors for estimating the memory parameter of a (possibly) non‐stationary process. Our results apply to a class of wavelets with bounded supports, which include but are not limited to Daubechies wavelets. We derive an explicit expression of the spectral density of the wavelet coefficients and show that it can be approximated, at large scales, by the spectral density of the continuous‐time wavelet coefficients of fractional Brownian motion. We derive an explicit bound for the difference between the spectral densities. As an application, we obtain minimax upper bounds for the log‐scale regression estimator of the memory parameter for a Gaussian process and we derive an explicit expression of its asymptotic variance.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/3edfa91f9d75e7c84f1751c24f46871c3b4ee994

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Citations in the corpus

Estimators of Long-Memory: Fourier versus Wavelets (2008, methodology): “(8)) or (Moulines et al., 2007c) can be used, but checking these still require model-dependent conditions).”
Wavelet estimation for operator fractional Brownian motion (2015, unknown): “…second, one takes the limit with respect to the scales themselves; however, the latter must go to infinity slower than the sample size, a feature our estimator shares with Fourier or wavelet-based semiparametric estimators in general (e.g., Robinson (1995a), Moulines et al. (2007b, 2007a, 2008)).”