BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES (Q4391379)
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scientific article; zbMATH DE number 1158294
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES |
scientific article; zbMATH DE number 1158294 |
Statements
BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES (English)
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19 October 1998
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conditional likelihood
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exact likelihood
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Metropolis-Hastings algorithm
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VARFIMA
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multivariate time series
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long-range dependence
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vector autoregressive fractionally integrated moving-average
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0.8514148592948914
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0.8144746422767639
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0.8088898062705994
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0.8054957985877991
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0.7934629917144775
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