搜索结果: 1-15 共查到“理论统计学 wavelet”相关记录15条 . 查询时间(0.102 秒)
The Identification of Thresholds and Time Delay in Self-Exciting Threshold a Model by Wavelet
threshold autoregressive model threshold time delay wavelet
2013/5/2
In this paper we studied about the wavelet identification of the thresholds and time delay for more general case without the constraint that the time delay is smaller than the order of the model. Here...
Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
Hermite polynomials of a Gaussian process long–memory parameter non–Gaussian Rosenblatt
2011/6/16
We consider stationary processes with long memory which are non–Gaussian and represented
as Hermite polynomials of a Gaussian process. We focus on the corresponding
wavelet coefficients and study th...
Adaptive semiparametric wavelet estimator and goodness-of-fit test for long memory linear processes
Statistics Theory (math.ST)
2010/12/17
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet {\it et al...
Perfect simulation using dominated coupling from the past with application to area-interaction point processes and wavelet thresholding
coupling from the past (CFTP) dominated CFTP exact simulation local stability Markov chain Monte Carlo perfect simulation
2010/3/11
We consider perfect simulation algorithms for locally stable point processes
based on dominated coupling from the past, and apply these methods
in two different contexts. A new version of the algori...
An application of wavelet analysis to pricing and hedging derivative securities
An application of wavelet analysis pricing and hedging derivative securities
2009/9/22
This work provides an application of wavelet analysis
to pricing and hedging path-dependent contingent claims within the
framework of the Black-Scholes model.
Wavelet Scalograms and their Applications in Economic Time Series
Wavelet Scalograms Applications Economic Time Series
2009/9/17
Wavelet Scalograms and their Applications in Economic Time Series。
Probability Density Functions of the Empirical Wavelet Coefficients of a Wavelet Estimator of Multidimensional Poisson Intensities
Probability Density Functions Empirical Wavelet Coefficients Wavelet Estimator Poisson Intensities
2009/9/17
Probability Density Functions of the Empirical Wavelet Coefficients of a Wavelet Estimator of Multidimensional Poisson Intensities。
A data-driven block thresholding approach to wavelet estimation
Adaptivity Besov body block thresholding James–Stein estimator nonparametric regression Stein’s unbiased risk estimate
2010/3/19
A data-driven block thresholding procedure for wavelet regression
is proposed and its theoretical and numerical properties are investigated.
The procedure empirically chooses the block size and thre...
Perfect simulation for Bayesian wavelet thresholding with correlated coefficients
Perfect simulation Bayesian wavelet thresholding correlated coefficients
2010/3/18
We introduce a new method of Bayesian wavelet shrinkage for recon-
structing a signal when we observe a noisy version. Rather than making
the usual assumption that the wavelet coecients of the sign...
Ultrametric Wavelet Regression of Multivariate Time Series：Application to Colombian Conflict Analysis
Ultrametric Wavelet Regression Multivariate Time Series Colombian Conflict Analysis
2010/3/18
We first pursue the study of how hierarchy provides a well-adapted tool
for the analysis of change. Then, using a time sequence-constrained hi-
erarchical clustering, we develop the practical aspect...
Locally adaptive estimation of evolutionary wavelet spectra
Local stationarity nonstationary time series wavelet spectrum autocorrelation wavelet change-point
2010/4/30
We introduce a wavelet-based model of local stationarity. This
model enlarges the class of locally stationary wavelet processes and
contains processes whose spectral density function may change very...
Adaptive wavelet based estimator of the memory parameter for stationary Gaussian processes
Adaptive wavelet estimator memory parameter stationary Gaussian processes
2010/4/26
This work is intended as a contribution to a wavelet-based adaptive estimator of the memory parameter in the classical semi-parametric framework for Gaussian stationary processes. In particular we int...
Practical wavelet design on the sphere。
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
High-frequency data S&P 500 index long range dependence heavy tailed marginals fractional Brownian motion
2010/4/27
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January
1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of
stationarity (the time p...
Self Consistency：A General Recipe for Wavelet Estimation With Irregularly-spaced and/or Incomplete Data
EM algorithm image denoising non-equispaced data missing data multiscale methods non-parametric regression wavelet thresholding
2010/4/26
Inspired by the key principle behind the EMalgorithm, we propose a general methodology for
conducting wavelet estimation with irregularly-spaced data by viewing the data as the observed
portion of a...