Fast Bayesian estimation for VARFIMA processes with stable errors
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autoregressive fractionally integrated moving average modelconjugate gradient algorithmfast Fourier transformMarkov chain Monte Carlopreconditioningsub-Gaussian stable errors
Stable stochastic processes (60G52) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Preconditioners for iterative methods (65F08) Numerical methods for discrete and fast Fourier transforms (65T50)
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Cites work
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- Bayesian analysis of long memory and persistence using ARFIMA models
- BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
- Bayesian Inference for Stable Distributions
- Bayesian Inference for Time Series with Stable Innovations
- Bayesian inference for vector ARMA models with stable innovations
- Bayesian Measures of Model Complexity and Fit
- Bayesian semiparametric inference on long-range dependence
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- Fractional differencing
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- Indirect estimation of ARFIMA and VARFIMA models
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- Maximum likelihood estimation of stationary multivariate ARFIMA processes
- On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series
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Cited in
(8)- A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
- Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions
- Bayesian inference for vector ARMA models with stable innovations
- BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
- Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to ``Bayesian analysis of vector ARFIMA processes
- Multistep ahead forecasting of vector time series
- Hierarchical clustering with spatial adjacency constraints in heavy-tailed areal data
- Fast approximate likelihood evaluation for stable VARFIMA processes
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