A Bayesian approach to estimating the long memory parameter

DOI10.1214/09-BA406MaRDI QIDQ5962435zbMATH OpenOpenAlexFDO

Authors Scott H. Holan, Tucker S. McElroy, Sounak Chakraborty

Publication date 12 February 2016

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1340370394

zbMATH Keywords

Bayesian model averagingFEXPhierarchical Bayeslong-range dependencereversible jump Markov chain Monte Carlospectral density

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(15)

• Estimation methods for stationary Gegenbauer processes
• Bayesian semiparametric long memory models for discretized event data
• Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
• Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
• Bayesian estimation of common long-range dependent models
• Bayesian semiparametric inference on long-range dependence
• Long-range dependence and approximate Bayesian computation
• A novel Bayesian approach to estimate long memory parameter
• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
• A note on Bayesian inference for long-range dependence of a stationary two-state process
• Bayesian estimation of long memory models and its application to exchange rates
• Space‐time modelling of trends in temperature series
• Covariate‐based cepstral parameterizations for time‐varying spatial error covariances
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
• Non-informative priors in the case of Gaussian long-memory processes

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