Wavelet estimation of the memory parameter for lon

Authors: Lihong Wang Jinde Wang

Publish Date: 2013/09/22

Volume: 55, Issue: 4, Pages: 1145-1158

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Abstract

In this paper we study the estimation of the spatial long memory parameter for stationary long range dependent random fields using wavelet methods We first show the relation between the wavelet coefficients of the random fields and its long memory parameter Based on this relation we construct a logregression wavelet estimator of the long memory parameter Under some mild regularity assumptions the asymptotic properties of the estimators are investigated Finally a small simulation study illustrates the methodWe sincerely wish to thank two referees for their queries and many insightful remarks and suggestions which have led to improving the presentation of the results We would also like to thank Zhengyu Xie for helping us with the simulations This work has been supported by National Natural Science Foundation of China NSFC Grant No11171147 and has also received funds from Qing Lan Project Jiangsu Province and from the Cultivation Fund of the Key Scientific and Technical Innovation Project Ministry of Education of China No708044

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