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Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University CAFO Working Papers, Centre for Labour Market Policy Research (CAFO), School of Business and Economics, Linnaeus University

No 2006:2:
A New Approach for Analyzing Fractional Difference Processes

Abdullah Almasri ()

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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