CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2012, 28(5) 499-510 DOI:      ISSN: 1001-4268 CN: 31-1256

Current Issue | Archive | Search                                                            [Print]   [Close]
article
Information and Service
This Article
Supporting info
PDF(208KB)
[HTML]
Reference
Service and feedback
Email this article to a colleague
Add to Bookshelf
Add to Citation Manager
Cite This Article
Email Alert
Keywords
Authors
PubMed

Time-Varying Long Memory Parameter Estimation Based on Wavelets

Lu Zhiping, Tao Qinying

Research Center of International Financial and Risk Management, School of Finance and Statistics, East China Normal University, Department of Mathematics, East China
Normal University

Abstract��

Stationary long memory process has been
widely studied in the literature. In this article, we considered the
locally stationary long memory process with time-varying memory
parameter. A new wavelet-based algorithm was developed using
log-linear relationship between the wavelet coefficient variance and
the scaling parameter. The consistency and the finite sample
behavior of the estimator have also been studied, which provide a
good reference for the practitioner and researchers. The new
algorithm has also been applied to the YEN/USD exchange rate series,
which leads to some interesting results.

Keywords��
Received  Revised  Online:  
DOI:
Fund:
Corresponding Authors: Lu Zhiping
Email:
About author:

References��
Similar articles

Copyright by CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST