Computationally efficient methods for two multivariate fractionally integrated models (Q3077667): Difference between revisions
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Revision as of 09:35, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computationally efficient methods for two multivariate fractionally integrated models |
scientific article |
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Computationally efficient methods for two multivariate fractionally integrated models (English)
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22 February 2011
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autoregressive fractionally integrated moving average processes
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ARFIMA model
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long memory processes
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vector autoregression
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simulations
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maximum likelihood estimation
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