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On the Invertibility of Fractionally Differenced ARIMA Processes

โœ Scribed by Mitsuhiro Odaki


Book ID
124299852
Publisher
Oxford University Press
Year
1993
Tongue
English
Weight
589 KB
Volume
80
Category
Article
ISSN
0006-3444

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## Abstract In this paper we propose to overcome the problem of spurious regression between fractionally differenced processes by applying the discrete wavelet transform (DWT) to both processes and then estimating the regression in the wavelet domain. The DWT is known to approximately decorrelate h