Maximum Likelihood Estimation of the Fractional Differencing Parameter in an Arfima Model Using Wavelets

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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書目詳細資料
Main Authors:	TSE, Yiu Kuen, Anh, V. V., Tieng, Q. M.
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2002
主題:	Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/321
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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