Please use this identifier to cite or link to this item: https://doi.org/10.1016/S0378-4754(01)00403-7
Title: Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets
Authors: Tse, Y.K. 
Anh, V.V.
Tieng, Q.
Keywords: ARFIMA model
Fractional differencing parameter
Maximum likelihood estimation
Wavelet coefficient
Issue Date: 2002
Citation: Tse, Y.K., Anh, V.V., Tieng, Q. (2002). Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets. Mathematics and Computers in Simulation 59 (1-3) : 153-161. ScholarBank@NUS Repository. https://doi.org/10.1016/S0378-4754(01)00403-7
Abstract: In this paper, we examine the finite-sample properties of the approximate maximum likelihood estimate (MLE) of the fractional differencing parameter d in an ARFIMA(p, d, q) model based on the wavelet coefficients. Ignoring wavelet coefficients of higher order of resolution, the remaining wavelet coefficients approximate a sample of independently and identically distributed normal variates with homogeneous variance within each level. The approximate MLE performs satisfactorily and provides a robust estimate for which the short memory component need not be specified.©2002 IMACS. Published by Elsevier Science B.V. All rights reserved.
Source Title: Mathematics and Computers in Simulation
URI: http://scholarbank.nus.edu.sg/handle/10635/19942
ISSN: 03784754
DOI: 10.1016/S0378-4754(01)00403-7
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