Computationally efficient methods for two multivariate fractionally integrated models
DOI10.1111/J.1467-9892.2009.00631.XzbMATH Open1224.62069OpenAlexW1978724408MaRDI QIDQ3077667FDOQ3077667
Authors: Rebecca J. Sela, Clifford Hurvich 
Publication date: 22 February 2011
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2009.00631.x
Recommendations
maximum likelihood estimationsimulationsvector autoregressionARFIMA modellong memory processesautoregressive fractionally integrated moving average processes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12)
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Cited In (15)
- Power-Law Cross-Correlations: Issues, Solutions and Future Challenges
- A multivariate generalized long memory model
- Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to ``Bayesian analysis of vector ARFIMA processes
- A note on calculating autocovariances of long‐memory processes
- On nonparametric density estimation for multivariate linear long-memory processes
- Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- Mixed-correlated ARFIMA processes for power-law cross-correlations
- The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
- The averaged periodogram estimator for a power law in coherency
- Modeling bivariate long-range dependence with general phase
- Multivariate wavelet Whittle estimation in long-range dependence
- Multistep ahead forecasting of vector time series
- Bayesian inference for ARFIMA models
- Generating univariate fractional integration within a large VAR(1)
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