Long-range dependence and approximate Bayesian computation

DOI10.1080/03610918.2014.995816MaRDI QIDQ2974924zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Plinio Andrade, L. R. Rifo

Publication date 11 April 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2014.995816

zbMATH Keywords

Bayesian inferenceentropyfractional Brownian motionHurst indexlikelihood-free methodlong-range binary processlong-range dependenceRosenblatt processtationary process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Bayesian inference (62F15) Non-Markovian processes: estimation (62M09)

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• A note on Bayesian inference for long-range dependence of a stationary two-state process

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