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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Bibliographic Details
Main Authors: TSE, Yiu Kuen, Anh, V. V., Tieng, Q. M.
Format: text
Language:English
Published: 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