Wavelet-Variance-Based Estimation for Composite Stochastic Processes

@inproceedings{Guerrier2013WaveletVarianceBasedEF,
  title={Wavelet-Variance-Based Estimation for Composite Stochastic Processes},
  author={Stephane Guerrier and Jan Skaloud and Yannick Stebler and Maria-Pia Victoria-Feser},
  booktitle={Journal of the American Statistical Association},
  year={2013}
}
This article presents a new estimation method for the parameters of a time series model. We consider here composite Gaussian processes that are the sum of independent Gaussian processes which, in turn, explain an important aspect of the time series, as is the case in engineering and natural sciences. The proposed estimation method offers an alternative to classical estimation based on the likelihood, that is straightforward to implement and often the only feasible estimation method with complex… CONTINUE READING
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