Current Development in Theory and Applications of Wavelets
Volume 3, Issue 2, Pages 121 - 130
(August 2009)
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WAVELETS FOR ESTIMATING THE FRACTIONAL PARAMETER IN NON-STATIONARY ARFIMA PROCESSES
S. R. C. Lopes (Brazil) and A. Pinheiro (Brazil)
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processes is proven. Performances of
this estimator and of some competitors are studied via simulation for
The proposed procedures are
illustrated in two data sets.
