Wavelet-Based Estimation of Generalized Fractional Process

This paper aims to propose an estimation procedure for the parameters of a generalized fractional process, a fairly general model of long-memory whose auto correlations exhibit periodic and hyperbolic decay. We derive a wavelet-based weighted least squares estimator of the long-memory parameter based on the maximal-overlap estimator of the wavelet variance. Short-memory parameters can then be estimated using standard methods

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Year of publication:	2009
Authors:	Gonzaga, Alex
Other Persons:	Kawanaka, Akira (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Methods of Information in Medicine, Vol. 46, No. 2, pp. 117-120, 2007 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2007 erstellt Volltext nicht verfügbar
Classification:	C13 - Estimation ; C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013160146