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On-line parameter interval estimation using recursive least squares

โœ Scribed by Per-Olof Gutman


Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
654 KB
Volume
8
Category
Article
ISSN
0890-6327

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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