We develop an ordinary least squares estimator of the long-memory parameter from a fractionally integrated process that is an alternative to the Geweke and Porter-Hudak (1983) estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship betwee
✦ LIBER ✦
Estimating the Long-Memory Parameter in Nonstationary Processes Using Wavelets
✍ Scribed by Boubaker, Heni; Péguin-Feissolle, Anne
- Book ID
- 121786592
- Publisher
- Springer US
- Year
- 2012
- Tongue
- English
- Weight
- 201 KB
- Volume
- 42
- Category
- Article
- ISSN
- 1572-9974
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