Wavelet regression with correlated errors on a piecewise Holder class

Autor(es)

Porto, Rogerio F. ^[1] ; Morettin, Pedro A. ^[1] ; Aubin, Elisete C. Q. ^[1]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, IME, BR-05508090 Sao Paulo - Brazil

• Tipo de documento: Artigo Científico
• Fonte: Statistics & Probability Letters; v. 78, n. 16, p. 2739-2743, NOV 2008.
• Citações Web of Science: 4

Resumo

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)

• Processo FAPESP: 03/10105-2 - Séries temporais, análise de dependência e aplicações em atuária e finanças
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Programa PRONEX - Temático