Maximum Likelihood Estimation of the Fractional Differencing Parameter in an Arfima Model Using Wavelets
Publication Type
Journal Article
Publication Date
2002
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.
Discipline
Econometrics
Research Areas
Econometrics
Publication
Mathematics and Computers in Simulation
Volume
59
First Page
153
Last Page
161
ISSN
0378-4754
Identifier
10.1016/s0378-4754(01)00403-7
Publisher
Elsevier
Citation
TSE, Yiu Kuen; Anh, V. V.; and Tieng, Q. M..
Maximum Likelihood Estimation of the Fractional Differencing Parameter in an Arfima Model Using Wavelets. (2002). Mathematics and Computers in Simulation. 59, 153-161.
Available at: https://ink.library.smu.edu.sg/soe_research/321
Additional URL
https://doi.org/10.1016/s0378-4754(01)00403-7