Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets

Mathematics and Computers in Simulation

Volumn 59, Issue 1-3, 2002, Pages 153-161

  Tse, Y K ^a   Anh, V V ^b   Tieng, Q ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

ARFIMA model; Fractional differencing parameter; Maximum likelihood estimation; Wavelet coefficient

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; CORRELATION METHODS; MATHEMATICAL MODELS; PARAMETER ESTIMATION;

WAVELET COEFFICIENTS;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 0037052653     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4754(01)00403-7     Document Type: Conference Paper

References (9)

1. Test for fractional integration: A Monte Carlo investigation
2. Wavelet analysis of commodity price behaviour
3. The estimation and application of long memory time series models
4. Wavelet threshold estimators for data with correlated noise
5. Wavelet analysis and synthesis of stationary long-memory processes
6. A stochastic nonlinear regression estimator using wavelets
7. Modelling long-run behaviour with fractional ARFIMA model
8. No-cointegration test based on fractional differencing: Some Monte Carlo results