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Journal of Economic Theory and Econometrics
Journal of the Korean Econometric Society
On the Spectral Degeneracy of Wavelet Transforms of Fractional Brownian Motion
Vol.25, No.1, March 2014, 58–66
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Jin Lee
(Department of Economics, Ewha Womans University)
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Abstract
Existence of spectral density of wavelet transform in the case of fractional Brownian motion is proved by Kato and Masry (1999). Given their results, we provide supplementary results on spectral behavior at the
zero frequency. It is found that the spectral density at the zero frequency, determined by the memory parameter and the number of vanishing moments of the wavelets, generates possible degeneracy. Our results can be understood as spectral version of decorrelation properties of wavelet transforms.
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Keywords
Fractional Brownian Motion, Wavelet Transform, Spectral Density at the Zero Frequency, Degeneracy |
JEL classification codes
C12, C14 |
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