Bayesian Whittle estimation of ARFIMA model

MaRDI QIDQ5410402zbMATH OpenFDO

Authors Haruhisa Nishino, Kazuhiko Kakamu

Publication date 16 April 2014

Full work available at URL http://www.pphmj.com/abstract/7970.htm

zbMATH Keywords

long memoryMarkov chain Monte CarloMCMC methodrealized volatility

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(5)

• Bayesian analysis of long memory and persistence using ARFIMA models
• Maximum likelihood estimation of ARFIMA models with a Box-Cox transformation
• Indirect estimation of ARFIMA and VARFIMA models
• Bayesian inference for ARFIMA models
• Asymptotic properties of parametric Bayesian estimation in ARFIMA models

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