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On the approximate decorrelation property of the discrete wavelet transform for fractionally differenced processes

โœ Scribed by Yanqin Fan


Book ID
114637063
Publisher
IEEE
Year
2003
Tongue
English
Weight
359 KB
Volume
49
Category
Article
ISSN
0018-9448

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โœ Isao Shoji ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 239 KB

In this note we investigate asymptotic properties of an estimator, called the Euler estimator, which is obtained by maximizing the likelihood function of the process discretized by the Euler method. By linking the Euler estimator of the coefficients of the drift function of a stochastic differential