Computationally efficient methods for two multivariate fractionally integrated models (Q3077667)
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scientific article; zbMATH DE number 5855785
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| English | Computationally efficient methods for two multivariate fractionally integrated models |
scientific article; zbMATH DE number 5855785 |
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Computationally efficient methods for two multivariate fractionally integrated models (English)
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22 February 2011
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autoregressive fractionally integrated moving average processes
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ARFIMA model
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long memory processes
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vector autoregression
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simulations
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maximum likelihood estimation
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0.7958644032478333
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0.7933734059333801
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0.7853809595108032
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0.7832825183868408
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