Results 141 to 150 of about 234,828 (176)

Maximum likelihood estimation of the fractional differencing parameter in an ARFIMA model using wavelets

Mathematics and Computers in Simulation, 2002
In this paper, we examine the finite-sample properties of the approximate maximum likelihood estimate (MLE) of the fractional differencing parameter d in an ARFIMA(p, d, q) model based on the wavelet coefficients.
Y K Tse, V V Anh
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On the Invertibility of Fractionally Differenced ARIMA Processes

Biometrika, 1993
Summary: To evaluate how the condition for invertibility of fractional ARIMA \((p,d,q)\) processes can be achieved, we formulate a measure based on the prediction error related to the autoregressive inversion. Some results are obtained by investigating the behaviour of the measure.
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A wavelet solution to the spurious regression of fractionally differenced processes

Applied Stochastic Models in Business and Industry, 2003
AbstractIn 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 heavily autocorrelated processes and, unlike applying a ...
Fan, Yanqin, Whitcher, Brandon
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Analytical design of fractional Hilbert transformer using fractional differencing

Proceedings of the 2003 International Symposium on Circuits and Systems, 2003. ISCAS '03., 2003
Conventionally, fractional differencing (FD) has been successfully used to generate a fractal process called fractional Brownian motion, and the fractional Hilbert transformer (FHT) has been also applied to the edge detection of images and the construction of secure single-side band (SSB) communication systems.
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Fractionally Differenced and Fractionally Integrated Processes

2016
The adjective “fractional” appears frequently in the names of processes related to long-range dependence; two immediate examples are the fractional Brownian motion of Example 3.5.1 and the fractional Gaussian noise introduced in Section 5 ...
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Identification of the order of a fractionally differenced ARMA model

Computational Statistics, 1999
Let \(X_t\) be, in general, a nonstationary time series. The model under consideration is an autoregressive fractionally integrated moving average (ARFIMA(p,d,q)) model given by \((1-L)^d x_t= (\Theta(L)/\Phi(L)) \epsilon_t\), where \(\epsilon_t\) is a white noise with variance \(\sigma^2\), \(L\) is a lag operator, i.e.
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On MLE methods for dynamical systems with fractionally differenced noise spectra

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference, 2009
Maximum likelihood is an attractive estimator for linear systems with finite order. In the case of fractionally differenced processes, the maximum likelihood estimator becomes numerically intractable for large data sets. An algorithm for the estimation of the fractal dimension of a process that addresses the ill-conditioning of its covariance matrix is
Oskar Vivero, William Paul Heath
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Estimation of the fractionally differencing parameter with the R/S method

Computational Statistics & Data Analysis, 1995
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hauser, Michael, Reschenhofer, Erhard
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On fractionally differenced periodic processes

2010
Summary: Long memory time series have been a topic of considerable recent interest. Applications of such processes have been made to hydrology, meteorology and economics. This paper considers modelling periodic processes with long term dependence patterns existing in the data.
Hui, YV, Li, WK
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Interest parity, fractional differencing, and the strength of attraction

Global Finance Journal, 1999
Abstract This article discusses the strength of attraction in the cointegration of foreign exchange futures prices and their own cash prices under a cost-of-carry futures pricing model. The memories of the residuals in cointegration regression are analyzed by using the fractional cointegration of Cheung and Lai (1993) and the data-tapered method ...
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