Modelling for the Wavelet Coefficients of ARFIMA Processes
AbstractWe consider the model for the discrete nonboundary wavelet coefficients of ARFIMA processes. Although many authors have explained the utility of the wavelet transform for the long dependent processes in semiparametrical literature, there have been a few studies in parametric setting. In this paper, we restrict the Daubechies wavelets filters to make the form of the (general) spectral density function of these coefficients clear.
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Bibliographic InfoPaper provided by Institute of Economic Research, Hitotsubashi University in its series Global COE Hi-Stat Discussion Paper Series with number gd12-281.
Date of creation: Feb 2013
Date of revision:
discrete wavelet transform; long memory process; spectral density function;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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