Maximum likelihood estimation of stationary multivariate ARFIMA processes

DOI10.1080/00949650902773536zbMath1395.62261MaRDI QIDQ3589972

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

zbMATH Keywords

maximum likelihood estimation; long memory; multivariate time series; Durbin-Levinson algorithm

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

60G18: Self-similar stochastic processes

Related Items

On nonparametric density estimation for multivariate linear long-memory processes, Modeling bivariate long‐range dependence with general phase, A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes, Mallows Distance in VARFIMA(0,d, 0) Processes, Fast approximate likelihood evaluation for stable VARFIMA processes, Mixed-correlated ARFIMA processes for power-law cross-correlations, Fast Bayesian estimation for VARFIMA processes with stable errors

Uses Software

• longmemo

Cites Work

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