Simulation of Gegenbauer processes using wavelet packets
In this paper, we propose to study the synthesis of Gegenbauer processes using the wavelet packets transform. In order to simulate 1-factor Gegenbauer process, we introduce an original algorithm, inspired by the one proposed by Coifman and Wickerhauser [CW92], to adaptively search for the best-ortho-basis in the wavelet packet library where the covariance matrix of the transformed process is nearly diagonal. Our method clearly outperforms the one recently proposed by [Whi01], is very fast, does not depend on the wavelet choice, and is not very sensitive to the length of the time series. From these first results we propose an algorithm to build bases to simulate k-factor Gegenbauer processes. Given the simplicity of programming and running, we feel the general practitioner will be attracted to our simulator. Finally we evaluate the approximation due to the fact that we consider the wavelet packet coeficients as uncorrelated. An empirical study is carried out which supports our results.
|Date of creation:||15 Jun 2005|
|Contact details of provider:|| Postal: GPO Box 2434, BRISBANE QLD 4001|
Web page: http://www.bus.qut.edu.au/faculty/economics/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jensen, Mark J., 2000.
"An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 24(3), pages 361-387, March.
- Mark J. Jensen, 1997. "An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets," Econometrics 9709002, EconWPA.
- Mark J. Jensen, 1997. "Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter," Econometrics 9710002, EconWPA.
- Jensen, Mark J, 1999. "Using wavelets to obtain a consistent ordinary least squares estimator of the long-memory parameter," MPRA Paper 39152, University Library of Munich, Germany.
When requesting a correction, please mention this item's handle: RePEc:qut:dpaper:190. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Fletcher)
If references are entirely missing, you can add them using this form.