Nonstationarity-extended local Whittle estimation, Journal of Econometrics, vol.141, issue.2, pp.1353-1384, 2007. ,
DOI : 10.1016/j.jeconom.2007.01.020
Wavelet analysis of long-range-dependent traffic. Information Theory, IEEE Transactions on, vol.44, issue.1, pp.2-15, 1998. ,
Fractal connectivity of long-memory networks, Physical Review E, vol.77, issue.3, p.36104, 2008. ,
DOI : 10.1103/PhysRevE.77.036104
URL : https://hal.archives-ouvertes.fr/hal-00350185
Wavelet estimator of long-range dependent processes, Statistical Inference for Stochastic Processes, vol.3, issue.1/2, pp.85-99, 2000. ,
DOI : 10.1023/A:1009953000763
The simulation of random vector time series with given spectrum, Mathematical and Computer Modelling, vol.22, issue.2, pp.1-6, 1995. ,
DOI : 10.1016/0895-7177(95)00106-C
Wavelet analysis of the multivariate fractional Brownian motion, ESAIM: Probability and Statistics, vol.17, pp.592-604, 2013. ,
DOI : 10.1051/ps/2012011
URL : https://hal.archives-ouvertes.fr/hal-00501720
Efficient Parameter Estimation for Self-Similar Processes, The Annals of Statistics, vol.17, issue.4, pp.1749-1766, 1989. ,
DOI : 10.1214/aos/1176347393
Integral representations and properties of operator fractional Brownian motions, Bernoulli, vol.17, issue.1, pp.1-33, 2011. ,
DOI : 10.3150/10-BEJ259
Estimators of long-memory: Fourier versus wavelets, Journal of Econometrics, vol.151, issue.2, pp.159-177, 2009. ,
DOI : 10.1016/j.jeconom.2009.03.005
Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series, The Annals of Statistics, vol.14, issue.2, pp.517-532, 1986. ,
DOI : 10.1214/aos/1176349936
Semiparametric estimation of spatial long-range dependence, Journal of Statistical Planning and Inference, vol.138, issue.5, pp.1479-1495, 2008. ,
DOI : 10.1016/j.jspi.2007.07.005
Multi-scale tests for serial correlation, Journal of Econometrics, vol.184, issue.1, pp.62-80, 2015. ,
DOI : 10.1016/j.jeconom.2014.08.002
An introduction to wavelets and other filtering methods in finance and economics, 2001. ,
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS, Journal of Time Series Analysis, vol.50, issue.3, pp.221-238, 1983. ,
DOI : 10.1137/1010093
Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Series with Long-Range Dependence, Journal of Time Series Analysis, vol.18, issue.1, pp.49-60, 1997. ,
DOI : 10.1111/1467-9892.00038
A wavelet Whittle estimator of generalized long-memory stochastic volatility, Statistical Methods & Applications, vol.19, issue.4, pp.23-48, 2011. ,
DOI : 10.1007/s10260-010-0153-9
The asymptotic theory of linear time-series models, Journal of Applied Probability, vol.pp, pp.130-145, 1973. ,
Matrix analysis An efficient taper for potentially overdifferenced long-memory time series, Journal of Time Series Analysis, vol.21, issue.2, pp.155-180, 1990. ,
Adaptive Estimation of the Fractional Differencing Coefficient, Bernoulli, vol.7, issue.5, pp.699-731, 2001. ,
DOI : 10.2307/3318538
An Approximate Wavelet MLE of Short- and Long-Memory Parameters, Studies in Nonlinear Dynamics & Econometrics, vol.3, issue.4, pp.239-253, 1999. ,
DOI : 10.2202/1558-3708.1051
DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES, Journal of Time Series Analysis, vol.59, issue.3, pp.1-25, 2015. ,
DOI : 10.1111/jtsa.12086
Fractional ARIMA with stable innovations, Stochastic processes and their applications, pp.19-47, 1995. ,
DOI : 10.1016/0304-4149(95)00034-8
URL : http://doi.org/10.1016/0304-4149(95)00034-8
Consistency of the Averaged Cross-Periodogram in Long Memory Series, Journal of Time Series Analysis, vol.18, issue.2, pp.137-155, 1997. ,
DOI : 10.1111/1467-9892.00043
A semiparametric two-step estimator in a multivariate long memory model, Journal of Econometrics, vol.90, issue.1, pp.129-153, 1999. ,
DOI : 10.1016/S0304-4076(98)00038-4
Fractional Brownian Motions, Fractional Noises and Applications, SIAM Review, vol.10, issue.4, pp.422-437, 1968. ,
DOI : 10.1137/1010093
Fractional Gaussian noise, functional MRI and Alzheimer's disease, NeuroImage, vol.25, issue.1, pp.141-158, 2005. ,
DOI : 10.1016/j.neuroimage.2004.10.044
URL : https://hal.archives-ouvertes.fr/hal-00260264/file/NIMG2005.pdf
On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter, Journal of Time Series Analysis, vol.8, issue.2, pp.155-187, 2007. ,
DOI : 10.2307/2669763
URL : https://hal.archives-ouvertes.fr/hal-00016357
A wavelet whittle estimator of the memory parameter of a nonstationary Gaussian time series, The Annals of Statistics, vol.36, issue.4, pp.1925-1956, 2008. ,
DOI : 10.1214/07-AOS527
URL : https://hal.archives-ouvertes.fr/hal-00016446
Local Whittle estimation of multi-variate fractionally integrated processes, Journal of Time Series Analysis, vol.91, issue.3, pp.317-335, 2011. ,
DOI : 10.1111/j.1467-9892.2010.00702.x
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration, Econometric Reviews, vol.5, issue.4, pp.405-443, 2005. ,
DOI : 10.1017/S0266466600161031
Wavelet based estimation of local Kolmogorov turbulence, Theory and Applications of Long-range Dependence, pp.473-505, 2003. ,
Wavelet methods for time series analysis, 2006. ,
Local Whittle estimation in nonstationary and unit root cases, The Annals of Statistics, vol.32, issue.2, pp.656-692, 2004. ,
Rates of convergence and optimal spectral bandwidth for long range dependence, Probability Theory and Related Fields, vol.31, issue.3, pp.443-473, 1994. ,
DOI : 10.1007/BF01199901
Semiparametric Analysis of Long-Memory Time Series, The Annals of Statistics, vol.22, issue.1, pp.515-539, 1994. ,
DOI : 10.1214/aos/1176325382
Gaussian Semiparametric Estimation of Long Range Dependence, The Annals of Statistics, vol.23, issue.5, pp.1630-1661, 1995. ,
DOI : 10.1214/aos/1176324317
Log-Periodogram Regression of Time Series with Long Range Dependence, The Annals of Statistics, vol.23, issue.3, pp.1048-1072, 1995. ,
DOI : 10.1214/aos/1176324636
ROBUST COVARIANCE MATRIX ESTIMATION: HAC ESTIMATES WITH LONG MEMORY/ANTIPERSISTENCE CORRECTION, Econometric Theory, vol.5, issue.01, pp.171-180, 2005. ,
DOI : 10.1214/aos/1176324317
URL : http://eprints.lse.ac.uk/2157/1/ROBUST_COVARIANCE_MATRIX_ESTIMATION_HAC_Estimates_with_Long_Memory_Antipersistence_Correction.pdf
Computationaly efficient methods for two multivariate fractionnaly integrated models, Journal of Time Series Analysis, vol.306, 2008. ,
The averaged periodogram estimator for a power law in coherency, Journal of Time Series Analysis, vol.91, issue.6, pp.340-363, 2012. ,
DOI : 10.1111/j.1467-9892.2011.00770.x
Gaussian semiparametric estimation of multivariate fractionally integrated processes, Journal of Econometrics, vol.137, issue.2, pp.277-310, 2007. ,
DOI : 10.1016/j.jeconom.2006.01.003
Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series, Journal of the American Statistical Association, vol.6, issue.452, pp.1229-1243, 2000. ,
DOI : 10.1111/1467-9892.00127
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.142.3529
Wavelet estimation of the memory parameter for long range dependent random fields, Statistical Papers, vol.36, issue.4, pp.1145-1158, 2014. ,
DOI : 10.1007/s00362-013-0558-2
Wavelet estimation of a local long memory parameter, Exploration Geophysics, vol.31, issue.2, pp.94-103, 2000. ,
DOI : 10.1071/EG00094
Estimation of fractal signals from noisy measurements using wavelets, IEEE Transactions on Signal Processing, vol.40, issue.3, pp.611-623, 1992. ,
DOI : 10.1109/78.120804