Modeling bivariate long-range dependence with general phase
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Publication:5111845
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Cites work
- scientific article; zbMATH DE number 2174795 (Why is no real title available?)
- A REPRESENTATION THEORY FOR A CLASS OF VECTOR AUTOREGRESSIVE MODELS FOR FRACTIONAL PROCESSES
- A fast fractional difference algorithm
- A multivariate generalized long memory model
- A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
- BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
- CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
- Computationally efficient methods for two multivariate fractionally integrated models
- Definitions and representations of multivariate long-range dependent time series
- Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
- Identification of the Multivariate Fractional Brownian Motion
- Indirect estimation of ARFIMA and VARFIMA models
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- Large sample inference for long memory processes
- Likelihood inference for a fractionally cointegrated vector autoregressive model
- Long memory relationships and the aggregation of dynamic models
- Long-Range Dependence and Self-Similarity
- Long‐Memory Time Series
- Maximum likelihood estimation in vector long memory processes via EM algorithm
- Maximum likelihood estimation of stationary multivariate ARFIMA processes
- Multiple local Whittle estimation in stationary systems
- Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to ``Bayesian analysis of vector ARFIMA processes
- The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
- Time series: theory and methods.
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