MODELLING FOR THE WAVELET COEFFICIENTS OF ARFIMA PROCESSES

Authors

  • Kei Nanamiya

    Corresponding author
    1. Institute of Economic Research, Hitotsubashi University, Tokyo, Japan
    • Correspondence to: Kei Nanamiya, Institute of Economic Research, Hitotsubashi University, 2-1 Naka, Kunitachi City, Tokyo 186-8603, Japan. E-mail: keinanamiya@gmail.com

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Abstract

We consider a model for the discrete nonboundary wavelet coefficients of autoregressive fractionally integrated moving average (ARFIMA) processes in each scale. Because the utility of the wavelet transform for the long-range dependent processes, which many authors have explained in semi-parametrical literature, is approximating the transformed processes to white noise processes in each scale, there have been few studies in a parametric setting. In this article, we propose the model from the forms of the (generalized) spectral density functions (SDFs) of these coefficients. Since the discrete wavelet transform has the property of downsampling, we cannot directly represent these (generalized) SDFs. To overcome this problem, we define the discrete non-decimated nonboundary wavelet coefficients and compute their (generalized) SDFs. Using these functions and restricting the wavelet filters to the Daubechies wavelets and least asymmetric filters, we make the (generalized) SDFs of the discrete nonboundary wavelet coefficients of ARFIMA processes in each scale clear. Additionally, we propose a model for the discrete nonboundary scaling coefficients in each scale.

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