A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing

DOI10.1093/biomet/83.3.603zbMath0866.62059OpenAlexW2075829537MaRDI QIDQ3837367

Alberto Luceño

Publication date: 24 July 1997

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/83.3.603

zbMATH Keywords

quadratic formToeplitz matrixstationary processlikelihood functionautoregressive-moving average modelsgeneral linear modelfractionally integrated modelautocovariancesdegree of differencingapproximate maximum likelihood estimatestime series estimationinfinite moving average modelinverse-transpose modelinvertible modelvector general linear process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Quadratic and bilinear forms, inner products (15A63)

Related Items (7)

Mallows Distance in VARFIMA(0,d, 0) Processes ⋮ Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ A multivariate generalized long memory model ⋮ Maximum likelihood estimation of stationary multivariate ARFIMA processes ⋮ A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes ⋮ A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors

Uses Software

• AS 154
• AS 197

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