A wavelet solution to the spurious regression of fractionally differenced processes

DOI10.1002/ASMB.497MaRDI QIDQ4676849zbMATH OpenOpenAlexFDO

Authors Yanqin Fan, Brandon Whitcher

Publication date 20 May 2005

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.497

zbMATH Keywords

asymptotic propertiesdiscrete wavelet transformlong memorynon-stationary processessimulation

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Nonparametric inference (62G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 43706 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• On the approximate decorrelation property of the discrete wavelet transform for fractionally differenced processes
• Ten Lectures on Wavelets

Cited in

(5)

• The spurious regression of fractionally integrated processes
• Causality measure of nonstationary processes by wavelets
• scientific article; zbMATH DE number 1944699 (Why is no real title available?)
• UNIT ROOT TESTS WITH WAVELETS
• Errors-in-variables estimation with wavelets

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