A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing

DOI10.1093/BIOMET/83.3.603MaRDI QIDQ3837367zbMATH OpenOpenAlexFDO

Authors Alberto Luceño

Publication date 24 July 1997

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/83.3.603

zbMATH Keywords

general linear modelToeplitz matrixquadratic formstationary processlikelihood functionfractionally integrated modelautocovariancesdegree of differencingapproximate maximum likelihood estimatesautoregressive-moving average modelstime series estimationinfinite moving average modelinverse-transpose modelinvertible modelvector general linear process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Quadratic and bilinear forms, inner products (15A63)

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Cited in

(7)

• A multivariate generalized long memory model
• Maximum likelihood estimation of stationary multivariate ARFIMA processes
• Mallows Distance in VARFIMA(0,d, 0) Processes
• Fast approximate likelihood evaluation for stable VARFIMA processes
• A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
• A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes
• Fast Bayesian estimation for VARFIMA processes with stable errors

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Uses Software

• AS 197
• AS 154

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