基于小波方法的时变长记忆参数的估计

Time-Varying Long Memory Parameter Estimation Based on Wavelets

  • 摘要: 平稳长记忆过程已经被广泛研究. 本文中, 我们考虑带有时变参数的局部平稳长记忆过程. 我们运用小波系数方差和尺度参数之间的对数线性关系提出了一个新的基于小波方法的参数估计方法. 我们也研究了该算法的一致性和有限样本行为, 为理论研究者和实务实践者提供了很好的参考. 同时我们将该方法应用于日元/美元的汇率序列中, 得到了有趣的结果.

     

    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.

     

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