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Another Maximum Likelihood Estimator in an ARFIMA Model Using Wavelets(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2010年01期
Page:
16-21
Research Field:
数学
Publishing date:

Info

Title:
Another Maximum Likelihood Estimator in an ARFIMA Model Using Wavelets
Author(s):
Shao Xiang1; Du Xiuli2
1.College of Tongda,Nanjing University of Posts and Telecommunications,Nanjing 210003,China 2. School of Mathem atical Sciences, Nan jing Normal Univers ity, Nan jing 210046, China
Keywords:
m ode; l disc rete w avelet transform ( DWT);  consistency;  asym ptotic normality
PACS:
O212.1
DOI:
-
Abstract:
Th is paper presents ano the rmax im um like lihood estim ator(MLE) o f the fractional differenc ing param eter d in an ARFIMA( p, d, q ) m ode l usingw ave lets transform. TheMLE is prov ed to be consist and asympto tic norm a .l The simu lation resu lts show th isM LE has low b ias and has low er root m ean square error( RMSE ) than the estima tor o fTse. Th is m ethod m ay be use fu l in estim ating long- memory time series.

References:

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Last Update: 2013-04-08