Modelling for the Wavelet Coefficients of ARFIMA Processes

Kei Nanamiya

Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: We consider the model for the discrete nonboundary wavelet coefficients of ARFIMA processes. Although many authors have explained the utility of the wavelet transform for the long dependent processes in semiparametrical literature, there have been a few studies in parametric setting. In this paper, we restrict the Daubechies wavelets filters to make the form of the (general) spectral density function of these coefficients clear.

Keywords: discrete wavelet transform; long memory process; spectral density function (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2013-02
New Economics Papers: this item is included in nep-cwa, nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:hst:ghsdps:gd12-281

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