Computationally efficient methods for two multivariate fractionally integrated models (Q3077667): Difference between revisions

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Latest revision as of 18:59, 3 July 2024

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Computationally efficient methods for two multivariate fractionally integrated models
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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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    Identifiers

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