Computationally efficient methods for two multivariate fractionally integrated models

DOI10.1111/j.1467-9892.2009.00631.xzbMath1224.62069OpenAlexW1978724408MaRDI QIDQ3077667

Clifford M. Hurvich, Rebecca J. Sela

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

zbMATH Keywords

maximum likelihood estimationsimulationslong memory processesvector autoregressionARFIMA modelautoregressive fractionally integrated moving average processes

Mathematics Subject Classification ID

Related Items (12)

Power-Law Cross-Correlations: Issues, Solutions and Future Challenges ⋮ On nonparametric density estimation for multivariate linear long-memory processes ⋮ The averaged periodogram estimator for a power law in coherency ⋮ Mixed-correlated ARFIMA processes for power-law cross-correlations ⋮ Modeling bivariate long‐range dependence with general phase ⋮ Multivariate Wavelet Whittle Estimation in Long-range Dependence ⋮ Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity ⋮ Bayesian Inference for ARFIMA Models ⋮ The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility ⋮ Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to Ravishanker, N. and B. K. Ray (1997) Australian Journal of Statistics 39 (3), 295–311 ⋮ Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models ⋮ Multistep ahead forecasting of vector time series

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