Bayesian analysis of long memory and persistence using ARFIMA models
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Cites work
- scientific article; zbMATH DE number 4098509 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- A minimum distance estimator for long-memory processes
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Are output fluctuations transitory?
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Bayesian analysis of autoregressive fractionally integrated moving-average processes
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Bias in the sample autocorrelations of fractional noise
- Efficient parameter estimation for self-similar processes
- Estimating fractionally integrated time series models
- Fractional differencing
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Long memory relationships and the aggregation of dynamic models
- Long-Term Memory in Stock Market Prices
- On the invertibility of fractionally differenced ARIMA processes
- On the invertibility of time series models
- Robust Bayesian inference in elliptical regression models
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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Cited in
(18)- Bayesian inference for ARFIMA models
- A Bayesian approach to estimating the long memory parameter
- First-order bias correction for fractionally integrated time series
- BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
- Bayesian inference for a mixture double autoregressive model
- Asymptotic properties of parametric Bayesian estimation in ARFIMA models
- Bayesian analysis of autoregressive fractionally integrated moving-average processes
- Indirect estimation of ARFIMA and VARFIMA models
- Fast Bayesian estimation for VARFIMA processes with stable errors
- Statistical analysis of autoregressive fractionally integrated moving average models in R
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Chapter 14 A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects
- Bayesian analysis of fractional time series models
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- Data analysis using regression models with missing observations and long-memory: an application study
- Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
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