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

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
Appears in Collections:	Staff Publications

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