Wavelet Variance based Estimation of Latent Time Series Models

Stéphane Guerrier

Research Center for Statistics

University of Geneva

Johnson Center G19-Gold Room

4400 University Drive, Fairfax, VA 22030

Time: 10:30 A.M. - 11:30 A.M.

Date: Wednesday, Jan 29, 2014 


This paper presents a new estimation method for the parameters of a times series model. We consider here composite Gaussian processes that are the sum of independent Gaussian processes which in turn explain an important aspect of the time series, as is the case in engineering and natural sciences. The proposed estimation method offers an alternative to classical estimation based on the likelihood, that is straightforward to implement and often the only feasible estimation method with complex models. The estimator results as the optimization of a criterion based on a standardized distance between the sample wavelet variances (WV) estimates and the model based WV. Indeed, the WV provides a decomposition of the variance process through different scales, so that they contain the information about different features of the stochastic model. We derive the asymptotic properties of the proposed estimator for inference and perform a simulation study to compare our estimator to the MLE and the LSE with different models. We also set sufficient conditions on composite models for our estimator to be consistent, that are easy to verify. We use the new estimator to estimate the stochastic error’s parameters of the sum of three first order Gauss-Markov processes by means of a sample of over 800,000 issued from gyroscopes that compose inertial navigation systems.

Yunpeng Zhao, PhD

Assistant Professor
Department of Statistics
Volgenau School of Engineering
George Mason University
Engineering Building, Room 1719, MS 4A7
4400 University Drive
Fairfax, VA 22030-4444
Phone: 703-993-1674
Email: [log in to unmask]