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...

We propose new wavelet-based procedure to estimate the memory parameter of an unobserved process from an observed process affected by noise in order to improve the performance of the estimator by taking into account the dependency of the wavelet coefficients of long memory processes. In our...

type="main" xml:id="jtsa12068-abs-0001" <title type="main">Abstract</title>We consider a model for the discrete nonboundary wavelet coefficients of autoregressive fractionally integrated moving average (ARFIMA) processes in each scale. Because the utility of the wavelet transform for the long-range dependent processes,...