Another maximum likelihood estimator for ARFIMA models using wavelets

MaRDI QIDQ3014613zbMATH OpenFDO

Authors Xiang Shao, Xiuli Du

Publication date 19 July 2011

zbMATH Keywords

asymptotic normalityconsistencydiscrete wavelet transforms

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods for wavelets (65T60)

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Cited in

(4)

• Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
• An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets
• Jackknife and bootstrap with cycling blocks for the estimation of fractional parameter in ARFIMA model
• Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study

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