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.

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Year of publication:	2013-02
Authors:	Nanamiya, Kei
Institutions:	Institute of Economic Research, Hitotsubashi University
Subject:	discrete wavelet transform \| long memory process \| spectral density function

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Extent:	application/pdf
Series:	Global COE Hi-Stat Discussion Paper Series.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010633048