Article
Bayesian Wavelet Estimation of Long Memory Parameter
Journal of Modern Applied Statistical Methods
Document Type
Article
Publication Date
5-1-2005
Disciplines
Abstract
A Bayesian wavelet estimation method for estimating parameters of a stationary I(d) process is represented as an useful alternative to the existing frequentist wavelet estimation methods. The effectiveness of the proposed method is demonstrated through Monte Carlo simulations. The sampling from the posterior distribution is through the Markov Chain Monte Carlo (MCMC) easily implemented in the WinBUGS software package.
Copyright Statement
Material in this article is copyrighted and initially published by the Journal of Modern Applied Statistical Methods, 2005, Volume 4, Issue 1, 140-154, ISSN 1538-9472, Wayne State University, College of Education, 5425 Gullen Mall, Detroit, MI, 48202. http://www.coe.wayne.edu. http://education.wayne.edu/jmasm/
Citation Information
Leming Qu. "Bayesian Wavelet Estimation of Long Memory Parameter" Journal of Modern Applied Statistical Methods (2005) Available at: http://works.bepress.com/leming_qu/9/