Maximum likelihood estimation of stationary multivariate ARFIMA processes
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Publication:3589972
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Cites work
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
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Cited in
(15)- On nonparametric density estimation for multivariate linear long-memory processes
- Computationally efficient methods for two multivariate fractionally integrated models
- Modeling bivariate long-range dependence with general phase
- The quasi maximum likelihood approach to statistical inference on a nonstationary multivariate ARFIMA process
- Parametric and semiparametric estimations of stationary univariate ARFIMA models
- Convergence analysis of a synchronous gradient estimation scheme for time-varying parameter systems
- A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
- Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
- Fast approximate likelihood evaluation for stable VARFIMA processes
- A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
- Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions
- Fast Bayesian estimation for VARFIMA processes with stable errors
- Mallows Distance in VARFIMA(0,d, 0) Processes
- Maximum likelihood estimation in vector long memory processes via EM algorithm
- Mixed-correlated ARFIMA processes for power-law cross-correlations
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