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A New Approach for Analyzing Fractional Difference Processes

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Abstract

This paper describes a new approach to analys the Fractional Difference (FD) processes using spectral analysis. The approach is based on the periodogram and the main idea behind it is to divide the Fourier frequencies into different frequency intervals or bands, matching the band-pass of the Discrete Wavelet Transform (DWT). The proposed approach has been tested and compared with the wavelet method.

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  • Almasri, Abdullah, 2006. "A New Approach for Analyzing Fractional Difference Processes," CAFO Working Papers 2006:2, Linnaeus University, Centre for Labour Market Policy Research (CAFO), School of Business and Economics.
    • Handle: RePEc:hhs:vxcafo:2006_002
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    References listed on IDEAS

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    1. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    More about this item

    Keywords

    Discrete Wavelet Transform; Fractional Difference Process; Band periodogram;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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