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OALib Journal期刊
ISSN: 2333-9721
费用：99美元
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在arfima模型中使用小波的另一种极大似然估计
, PP. 16-21
Keywords: arfima模型,离散小波变换(dwt),相合性,渐近正态性
Abstract:
用小波变换方法提出arfima(p,d,q)模型中分形差分参数d的另一种极大似然估计(mle).这种极大似然估计被证明是相合的和渐近正态的.仿真结果显示这种极大似然估计偏差较小,并且与tse的估计值相比较有更小的根均方误差(rmse),该方法估计长记忆时间序列是有效的.
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