Bayesian analysis of autoregressive fractionally integrated moving-average processes

DOI10.1111/1467-9892.00079MaRDI QIDQ3838323zbMATH OpenOpenAlexFDO

Authors Nalini Ravishanker, Jeffrey S. Pai

Publication date 14 December 1998

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00079

zbMATH Keywords

exact likelihoodGibbs samplinglong-memory modelsMarkov chain Monte Carlo methodsposterior distributiontime series

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(35)

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• A Bayesian analysis of moving average processes with time-varying parameters
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• Long memory and nonlinearities in realized volatility: a Markov switching approach
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• Estimation methods for stationary Gegenbauer processes
• Statistical analysis of autoregressive fractionally integrated moving average models in R
• Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
• Modelling structural breaks, long memory and stock market volatility: an overview
• Bayesian semiparametric inference on long-range dependence
• Bayesian analysis of fractional time series models
• scientific article; zbMATH DE number 5927406 (Why is no real title available?)
• Bayesian methods for change-point detection in long-range dependent processes
• First-order bias correction for fractionally integrated time series
• Bayesian autoregressive spectral analysis
• scientific article; zbMATH DE number 4024576 (Why is no real title available?)
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• BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
• scientific article; zbMATH DE number 1163471 (Why is no real title available?)
• BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
• scientific article; zbMATH DE number 1522736 (Why is no real title available?)
• SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
• DIFFERENTIAL GEOMETRY OFARFIMAPROCESSES
• Penalised complexity priors for stationary autoregressive processes
• Bayesian inference for ARFIMA models
• Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to ``Bayesian analysis of vector ARFIMA processes
• Asymptotic properties of parametric Bayesian estimation in ARFIMA models
• Bayesian Whittle estimation of ARFIMA model
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
• Bayesian estimation of Gegenbauer processes
• Bayesian estimation of fractional difference parameter in ARFIMA models and its application
• Beta autoregressive fractionally integrated moving average models
• Data analysis using regression models with missing observations and long-memory: an application study

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