24 August 2017 Semiparametric, parametric, and possibly sparse models for multivariate long-range dependence
Author Affiliations +
Abstract
Several available formulations, parametric models and sparsity settings for multivariate long-range dependence (MLRD) are discussed. Furthermore, a new parametric identifiable model for a general formulation of MLRD is introduced in any dimension, and another sparsity setting is identified of potential interest in MLRD modeling. Estimation approaches for MLRD are also reviewed, including some recent progress and open questions about estimation in higher dimensions and sparse settings.
© (2017) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
Changryong Baek, Changryong Baek, Stefanos Kechagias, Stefanos Kechagias, Vladas Pipiras, Vladas Pipiras, } "Semiparametric, parametric, and possibly sparse models for multivariate long-range dependence", Proc. SPIE 10394, Wavelets and Sparsity XVII, 103941S (24 August 2017); doi: 10.1117/12.2275101; https://doi.org/10.1117/12.2275101
PROCEEDINGS
14 PAGES


SHARE
Back to Top