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

• Main Authors: TSE, Yiu Kuen, Anh, V. V., Tieng, Q. M.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2002
• Subjects: Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/321
• Institution: Singapore Management University

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...