Bayesian Inference for ARFIMA Models
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Publication:5226139
DOI10.1111/jtsa.12443zbMath1421.62119OpenAlexW2907140062WikidataQ128687616 ScholiaQ128687616MaRDI QIDQ5226139
Garland B. Durham, Fallaw B. Sowell, Susan Porter-Hudak, John F. Geweke
Publication date: 30 July 2019
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12443
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Bayesian inference (62F15) Monte Carlo methods (65C05) Sequential estimation (62L12)
Related Items (6)
Sequential Bayesian inference for vector autoregressions with stochastic volatility ⋮ Bayesian estimation of Gegenbauer processes ⋮ Bayesian estimation of fractional difference parameter in ARFIMA models and its application ⋮ Testing the equality of the laws of two strictly stationary processes ⋮ A novel Bayesian approach to estimate long memory parameter ⋮ Estimation methods for stationary Gegenbauer processes
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