Modelling for the Wavelet Coefficients of ARFIMA Processes
We 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.
|Date of creation:||Feb 2013|
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