A New Approach for Analyzing Fractional Difference Processes

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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Year of publication:	2006-01-05
Authors:	Almasri, Abdullah
Institutions:	Centrum för arbetsmarknadspolitisk forkskning (CAFO), Ekonomihögskolan
Subject:	Discrete Wavelet Transform \| Fractional Difference Process \| Band periodogram

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Extent:	application/pdf
Series:	CAFO Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CAFO Working Papers Number 2006:2 16 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005645260