81 citations · 495 across the 57 of their papers we have counts for
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math.ST2008
Central Limit Theorems for arrays of decimated linear processes
François Roueff, Murad S. Taqqu
Linear processes are defined as a discrete-time convolution between a kernel and an infinite sequence of i.i.d. random variables. We modify this convolution by introducing decimati…
math.ST2008★ 2 cited
Asymptotic normality of wavelet estimators of the memory parameter for linear processes
François Roueff, Murad S. Taqqu
We consider linear processes, not necessarily Gaussian, with long, short or negative memory. The memory parameter is estimated semi-parametrically using wavelets from a sample $X_1…
math.ST2008★ 1 cited
Estimators of Long-Memory: Fourier versus Wavelets
Gilles Fay, Eric Moulines, François Roueff +1
There have been a number of papers written on semi-parametric estimation methods of the long-memory exponent of a time series, some applied, others theoretical. Some using Fourier…