Statistics Seminar: Marina Knight

Marina Knight, York University

Friday 25 October 2013, 1400-1500
A54, Postgraduate Statistics Centre Lecture Theatre

Hurst exponent estimation for long-memory processes using wavelet lifting

Reliable estimation of long-range dependence (LRD) parameters, such as the Hurst

exponent, is a well studied problem in the statistical literature. However, when the observed time series presents missingness or is naturally irregularly sampled, current literature is sparse with most approaches requiring heavy modifications.

In this talk I shall present a technique for estimating the Hurst exponent of an LRD time series, that naturally deals with the time domain irregularity. The method is based on a flexible wavelet transform built by means of the lifting scheme and we demonstrate through simulation its performance.