BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES

DOI10.1111/J.1467-842X.1997.TB00693.XMaRDI QIDQ4391379zbMATH OpenFDO

Authors Nalini Ravishanker, B. K. Ray

Publication date 19 October 1998

Published in Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.1997.TB00693.X

zbMATH Keywords

conditional likelihoodexact likelihoodlong-range dependenceMetropolis-Hastings algorithmmultivariate time seriesVARFIMAvector autoregressive fractionally integrated moving-average

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hydrology, hydrography, oceanography (86A05)

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• LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH
• Modeling bivariate long-range dependence with general phase
• Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to ``Bayesian analysis of vector ARFIMA processes
• A note on Bayesian inference for long-range dependence of a stationary two-state process
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