 On the Spectral Density of the Wavelet Coefficients of Long‐Memory Time Series with Application to the Log‐Regression Estimation of the Memory ParameterE. Moulines, F. Roueff and M. S. Taqqu Journal of Time Series Analysis, 2007, vol. 28, issue 2, 155-187 Abstract: 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. Date: 2007 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:28:y:2007:i:2:p:155-187 Ordering information: This journal article can be ordered from Access Statistics for this article Journal of Time Series Analysis is currently edited by M.B. Priestley More articles in Journal of Time Series Analysis from Wiley Blackwell |
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