framework of Bayesian ARFIMA class of models. The results conclude that Canadian unemployment exhibits persistence in the short …

In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative … of compactly supported wavelets, series length, and contamination by generating ARFIMA(p,d,q) processes for different …. In our simulations we find the wavelet MLE to be superior to the approximate MLE when estimating contaminated ARFIMA(0,d …

approximate an ARFIMA models likelihood function with the series wavelet coefficients and their variances. Maximization of this … likelihood estimator of the ARFIMA model. By simultaneously maximizing the likelihood function over both the short and long … invertible parameter region of the ARFIMA model's moving average parameter, whereas the frequency-domain MLE dramatically …