| 000 -LEADER |
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| fixed length control field |
01242nab a22001457a 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20230213112518.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
230201b ||||| |||| 00| 0 eng d |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
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| Preferred name for the person |
Gonzaga, Alex C. |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
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| Title |
Asymptotic decorrelation of discrete wavelet packet transform of generalized long-memory stochastic volatility |
| 264 #4 - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Date of publication, distribution, etc |
2017 |
| 520 3# - SUMMARY, ETC. |
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| Summary, etc |
We derive the asymptotic properties of discrete wavelet packet transform (DWPT) of generalized long-memory stochastic volatility (GLMSV) model, a relatively general model of stochastic volatility that accounts for persistent (or long-memory) and seasonal (or cyclic) behavior at several frequencies. We derive the rates of convergence to zero of between-scale and within-scale wavelet packet coefficients at different subbands. Wavelet packet coefficients in the same subband can be shown to be approximately uncorrelated by appropriate choice of basis vectors using a white noise test. These results may be used to simplify the variance-covariance matrix into a diagonalized matrix, whose diagonal elements have the least distinct variances to compute. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Wavelets (Mathematics) |
| 773 ## - HOST ITEM ENTRY |
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| Title |
The Philippine Statistician |
| Relationship information |
vol. 66, no. 2: (2017), pages 1-14 |
| 942 ## - ADDED ENTRY ELEMENTS |
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| Source of classification or shelving scheme |
|
| Item type |
JOURNAL ARTICLE |