Fast Bayesian estimation for VARFIMA processes with stable errors
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Markov chain Monte Carlopreconditioningconjugate gradient algorithmfast Fourier transformsub-Gaussian stable errorsautoregressive fractionally integrated moving average model
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) Stable stochastic processes (60G52) Numerical methods for discrete and fast Fourier transforms (65T50)
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Cited in
(6)- Bayesian inference for vector ARMA models with stable innovations
- Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to ``Bayesian analysis of vector ARFIMA processes
- Fast approximate likelihood evaluation for stable VARFIMA processes
- A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
- Multistep ahead forecasting of vector time series
- Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions
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