State space modeling of long-memory processes
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- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
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Cited in
(50)- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
- MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
- Estimation of seasonal fractionally integrated processes
- Bayesian inference for long memory term structure models
- A note on filtering for long memory processes
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
- Efficient Estimation of Seasonal Long‐Range‐Dependent Processes
- Long memory with stochastic variance model: a recursive analysis for US inflation
- Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data
- Approximate state space modelling of unobserved fractional components
- Realized stochastic volatility with leverage and long memory
- When long memory meets the Kalman filter: a comparative study
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- Estimation methods for stationary Gegenbauer processes
- Fractionally differenced Gegenbauer processes with long memory: a review
- State space modeling of Gegenbauer processes with long memory
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について
- Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory
- Long memory conditional random fields on regular lattices
- Assessing influence in Gaussian long-memory models
- Bayesian methods for change-point detection in long-range dependent processes
- Fast approximate likelihood evaluation for stable VARFIMA processes
- Long memory affine term structure models
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- Long memory stochastic volatility : A bayesian approach
- Bayesian estimation of common long-range dependent models
- Analysis of the correlation structure of square time series
- Spatio-temporal analysis with short- and long-memory dependence: a state-space approach
- LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH
- Estimation and forecasting of long memory stochastic volatility models
- A regularised estimator for long-range dependent processes
- Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility
- Estimation of trend in state-space models: asymptotic mean square error and rate of convergence
- Multistep ahead forecasting of vector time series
- Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
- State space estimation for long memory AFRIMA-GARCH models
- Fitting non-Gaussian persistent data
- The ARMA alphabet soup: a tour of ARMA model variants
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
- Fast Bayesian estimation for VARFIMA processes with stable errors
- Minimum distance estimation of ARFIMA processes
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Long-range dependence and approximate Bayesian computation
- A Kalman filter method for estimation and prediction of space-time data with an autoregressive structure
- Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
- Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models
- Level-crossing probabilities and first-passage times for linear processes
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