Two-step wavelet-based estimation for mixed Gaussian fractional processes

Patrice Abry, Gustavo Didier, Hui Li

A mixed Gaussian fractional process $\{Y(t){\}}_{t\in \mathbb{R}}=\{PX(t){\}}_{t\in \mathbb{R}}$ is a multivariate stochastic process obtained by pre-multiplying a vector of independen…