A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing
DOI10.1093/BIOMET/83.3.603zbMATH Open0866.62059OpenAlexW2075829537MaRDI QIDQ3837367FDOQ3837367
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
Recommendations
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Quadratic and bilinear forms, inner products (15A63)
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
Uses Software
This page was built for publication: A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3837367)
