16 citations · 23 across the 3 of their papers we have counts for
3 papers
stat.ME2013
On estimating extremal dependence structures by parametric spectral measures
Jan Beran, Georg Mainik
Estimation of extreme value copulas is often required in situations where available data are sparse. Parametric methods may then be the preferred approach. A possible way of defini…
math.ST2012★ 7 cited
On asymptotically optimal wavelet estimation of trend functions under long-range dependence
Jan Beran, Yevgen Shumeyko
We consider data-adaptive wavelet estimation of a trend function in a time series model with strongly dependent Gaussian residuals. Asymptotic expressions for the optimal mean inte…
math.ST2010★ 16 cited
On approximate pseudo-maximum likelihood estimation for LARCH-processes
Jan Beran, Martin Schützner
Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67--84] to model long-range dependence in volatility and leverage. Basic theoretical properties…