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.
• 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
• 機構: 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...