This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...

In this paper, we modify wavelets so that wavelet coefficients become statistically independent. Under standard regularity conditions, we determine the distribution of the wavelet coefficients. Using the moving average representation of the ARFIMA(p,d,q) process, we obtain wavelet-based exact...