An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets
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- 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.
References listed on IDEAS
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More about this item
KeywordsARFIMA; Fractional Integration; Long-memory; MLE; Wavelets;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- 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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