Maximum likelihood estimation of stationary multivariate ARFIMA processes

DOI10.1080/00949650902773536zbMATH Open1395.62261OpenAlexW2063830695MaRDI QIDQ3589972FDOQ3589972

Authors: Wen-Jen Tsay 

Publication date: 17 September 2010

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650902773536

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zbMATH Keywords

maximum likelihood estimationmultivariate time serieslong memoryDurbin-Levinson algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Self-similar stochastic processes (60G18)

Cites Work

• A semiparametric two-step estimator in a multivariate long memory model
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• Time series: theory and methods.
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• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• Modeling and Forecasting Realized Volatility
• Long memory relationships and the aggregation of dynamic models
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Maximum likelihood estimation of the parameters of discrete fractionally differenced Gaussian noise process
• A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing

Cited In (15)

• Parametric and semiparametric estimations of stationary univariate ARFIMA models
• The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process
• Maximum likelihood estimation in vector long memory processes via EM algorithm
• On nonparametric density estimation for multivariate linear long-memory processes
• Mixed-correlated ARFIMA processes for power-law cross-correlations
• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Computationally efficient methods for two multivariate fractionally integrated models
• Mallows Distance in VARFIMA(0,d, 0) Processes
• Modeling bivariate long-range dependence with general phase
• Fast approximate likelihood evaluation for stable VARFIMA processes
• A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
• Convergence analysis of a synchronous gradient estimation scheme for time-varying parameter systems
• A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
• Fast Bayesian estimation for VARFIMA processes with stable errors
• Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions

Uses Software

• longmemo

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