MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES

We consider a model for the discrete nonboundary wavelet coefficients of autoregressive fractionally integrated moving average (ARFIMA) processes in each scale. Because the utility of the wavelet transform for the long‐range dependent processes, which many authors have explained in semi‐parametrical...

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Bibliographic Details

Published in:	Journal of time series analysis Vol. 35; no. 4; pp. 341 - 356
Main Author:	Nanamiya, Kei
Format:	Journal Article
Language:	English
Published:	Oxford Blackwell Publishing Ltd 01.07.2014
Subjects:	Asymmetry Coefficients discrete wavelet transform long memory process Modelling Regression analysis spectral density function JEL. C22 Studies Time series Utility theory Vector-autoregressive models Wavelet transforms United States > US
ISSN:	0143-9782, 1467-9892
Online Access:	Get full text
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