CAFO Working Papers, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University
A New Approach for Analyzing Fractional Difference Processes
Abstract: This paper describes a new approach to analys the
Fractional Difference (FD) processes using spectral analysis. The approach
is based on the periodogram and the main idea behind it is to divide the
Fourier frequencies into different frequency intervals or bands, matching
the band-pass of the Discrete Wavelet Transform (DWT). The proposed
approach has been tested and compared with the wavelet method.
Keywords: Discrete Wavelet Transform; Fractional Difference Process; Band periodogram; (follow links to similar papers)
JEL-Codes: C22; (follow links to similar papers)
16 pages, January 5, 2006
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