Abstract #301177

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JSM 2002 Abstract #301177
Activity Number: 208
Type: Contributed
Date/Time: Tuesday, August 13, 2002 : 10:30 AM to 12:30 PM
Sponsor: Section on Statistics & the Environment*
Abstract - #301177
Title: Wavelet-based Estimation for Fractional Exponential Time Series Models
Author(s): Peter Craigmile*+
Affiliation(s): Ohio State University
Address: 404 Cockins Hall, 1958 Neil Avenue, Columbus, Ohio, 43210, USA
Keywords: FEXP processes ; long memory processes ; discrete wavelet transform ; tim series
Abstract:

The fractional exponential (FEXP) process of Beran (1993, 1994) is a generalization of the exponential model of Bloomfield (1973) and allows for semi-parametric modeling of long-range dependence (slowly decaying autocorrelations).

In this talk, we analyze the statistical properties of the discrete wavelet transform of FEXP processes in some detail, examining the between- and within-scale wavelet correlations separately. We provide large sample properties of an estimator for the long-memory parameter and Monte Carlo simulations to illustrate the small sample-size performance. We compare this wavelet estimation method to existing estimation schemes based on analyzing the spectrum of the time series. We motivate our methodology by applying it to an environmental time series.

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Revised March 2002