An Approximate Wavelet MLE of Short- and Long-Memory Parameters

DOI10.2202/1558-3708.1051zbMath1078.91566OpenAlexW3022577262MaRDI QIDQ3368237

Mark J. Jensen

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1051

zbMATH Keywords

waveletsfractional integrationlong memoryARFIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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