Computationally efficient methods for two multivariate fractionally integrated models

DOI10.1111/J.1467-9892.2009.00631.XMaRDI QIDQ3077667zbMATHOpenAlexFDO

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

zbMATH Keywords

maximum likelihood estimationsimulationsvector autoregressionARFIMA modellong memory processesautoregressive fractionally integrated moving average processes

Mathematics Subject Classification ID

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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Cites work

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Cited in

(15)

• The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
• On nonparametric density estimation for multivariate linear long-memory processes
• Bayesian inference for ARFIMA models
• Modeling bivariate long-range dependence with general phase
• The averaged periodogram estimator for a power law in coherency
• Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
• Multivariate wavelet Whittle estimation in long-range dependence
• Generating univariate fractional integration within a large VAR(1)
• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
• Multistep ahead forecasting of vector time series
• Power-Law Cross-Correlations: Issues, Solutions and Future Challenges
• A note on calculating autocovariances of long‐memory processes
• A multivariate generalized long memory model
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to ``Bayesian analysis of vector ARFIMA processes

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