University of Edinburgh
School of Mathematics and BioSS
Date: Friday 4th Nov, 15:10pm Location: JCMB 5327
Speaker: Dr Matt Nunes, Department of Mathematics and Statistics,
Lancaster University
Title: Long memory estimation for irregularly sampled processes
Abstract: Reliable estimation of long-range dependence (LRD) parameters,
such as the Hurst exponent, is a well-studied problem in the statistical
literature. However, many time series observed in practice present
missingness or are naturally irregularly-sampled. In these settings,
current literature is sparse; most approaches require heavy
modifications to deal with the irregular observations. In this talk I
present a technique for estimating the Hurst exponent of a long memory
time series. The method is based on a flexible wavelet transform built
via the lifting scheme, and is naturally suitable for series exhibiting
time domain irregularity. We illustrate the technique through a time
series application in climatology.
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This seminar is a part of Maxwell Institute seminar series.
The University of Edinburgh is a charitable body, registered in
Scotland, with registration number SC005336.
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