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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Vydané v:	Journal of time series analysis Ročník 35; číslo 4; s. 341 - 356
Hlavný autor:	Nanamiya, Kei
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Oxford Blackwell Publishing Ltd 01.07.2014
Predmet:	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
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