Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes

@inproceedings{Koa2005BayesianWA,
  title={Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes},
  author={Kyungduk Koa and Marina Vannuccib},
  year={2005}
}
  • Kyungduk Koa, Marina Vannuccib
  • Published 2005
Long memory processes are widely used in many scientific fields, such as economics, physics and engineering. In this paper we describe a wavelet-based Bayesian estimation procedure to estimate the parameters of a general Gaussian ARFIMA (p, d, q), autoregressive fractionally integrated moving average model with unknown autoregressive and moving average parameters. We employ the decorrelation properties of the wavelet transforms to write a relatively simple Bayes model in the wavelet domain. We… CONTINUE READING
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