The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.
Abstract Details
|
Activity Number:
|
309
|
|
Type:
|
Contributed
|
|
Date/Time:
|
Tuesday, August 2, 2011 : 8:30 AM to 10:20 AM
|
|
Sponsor:
|
IMS
|
| Abstract - #301066 |
|
Title:
|
On Data Adaptive Wavelet Decomposition and Bootstrap Under Long-Range Dependence
|
|
Author(s):
|
Jan Beran*+ and Yevgen Shumeyko
|
|
Companies:
|
University of Konstanz and University of Konstanz
|
|
Address:
|
Department of Mathematics and Statistics,, Konstanz, International, 78457, Germany
|
|
Keywords:
|
long-range dependence ;
wavelets ;
bootstrap ;
discontinuity ;
data adaptive ;
time series
|
|
Abstract:
|
Optimal data adaptive wavelet estimation of a trend function in time series with long-range dependence leads to a natural decomposition into a low and a high-resolution part. Explicit formulas for optimal decomposition levels and smoothing parameters are obtained. Moreover, a bootstrap test is developed to detect discontinuities in the underlying trend function. Asymptotic validity and consistency of the test are derived under general conditions.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2011 program
|
2011 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.