Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets

DOI10.1016/S0378-4754(01)00403-7zbMath1001.65010OpenAlexW2124698241MaRDI QIDQ1614011

R. Smith

Publication date: 3 September 2002

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(01)00403-7

zbMATH Keywords

maximum likelihood estimationwavelet coefficientARFIMA modelfractional differencing parameter

Mathematics Subject Classification ID

Point estimation (62F10) Numerical methods for wavelets (65T60)

Related Items (4)

Parameter identification for mixed fractional Brownian motions with the drift parameter ⋮ Two recursive least squares parameter estimation algorithms for multirate multiple-input systems by using the auxiliary model ⋮ Data filtering based multi-innovation extended gradient method for controlled autoregressive autoregressive moving average systems using the maximum likelihood principle ⋮ Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration

Uses Software

• longmemo

Cites Work

• No-cointegration test based on fractional differencing: Some Monte Carlo results
• A stochastic nonlinear regression estimator using wavelets
• Wavelet analysis of commodity price behavior
• TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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