Wavelet-based estimation of long-memory parameter in stochastic volatility models using a robust log-periodogram
用稳健对数周期图进行随机波动率模型长记忆参数的小波估计
In this paper, we propose a novel method for estimating the long-memory parameter in time series. By combining the multi-resolution framework of wavelets with the robustness of the Least Absolute Deviations (LAD) criterion, we introduce a periodogram providing a robust alternative to classical methods in the presence of non-Gaussian noise. Incorporating this periodogram into a log-periodogram regression, we develop a new estimator. Simulation studies demonstrate that our…