Maximum Likelihood Estimation of the Fractional Differencing Parameter in an Arfima Model Using Wavelets
In this paper, we examine the finite-sample properties of the approximate maximum likelihood estimate (MLE) of the fractional differencing parameter d in an ARFIMA(p, d, q) model based on the wavelet coefficients. Ignoring wavelet coefficients of higher order of resolution, the remaining wavelet coe...
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Main Authors: | , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2002
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Online Access: | https://ink.library.smu.edu.sg/soe_research/321 |
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Institution: | Singapore Management University |
Language: | English |