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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…