Advanced search
Start date
Betweenand
Related content
(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Wavelet regression with correlated errors on a piecewise Holder class

Full text
Author(s):
Porto, Rogerio F. [1] ; Morettin, Pedro A. [1] ; Aubin, Elisete C. Q. [1]
Total Authors: 3
Affiliation:
[1] Univ Sao Paulo, IME, BR-05508090 Sao Paulo - Brazil
Total Affiliations: 1
Document type: Journal article
Source: Statistics & Probability Letters; v. 78, n. 16, p. 2739-2743, NOV 2008.
Web of Science Citations: 4
Abstract

This paper generalizes the methodology of Cat and Brown {[}Cai, T., Brown, L.D., 1998. Wavelet shrinkage for nonequispaced samples. The Annals of Statistics 26, 1783-1799] for wavelet shrinkage for nonequispaced samples, but in the presence of correlated stationary Gaussian errors. If the true function is a member of a piecewise Holder class, it is shown that, even for long memory errors, the rate of convergence of the procedure is almost-minimax relative to the independent and identically distributed errors case. (c) 2008 Elsevier B.V. All rights reserved. (AU)

FAPESP's process: 03/10105-2 - Temporal series, analysis of dependency and applications in actuarial science and finance
Grantee:Pedro Alberto Morettin
Support Opportunities: PRONEX Research - Thematic Grants