Bayesian Inference for ARFIMA Models
From MaRDI portal
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Bayesian analysis of long memory and persistence using ARFIMA models
- Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
- Computationally efficient methods for two multivariate fractionally integrated models
- The Fitting of Time-Series Models
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- Testing for a change of the long-memory parameter
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Arbitrage with Fractional Brownian Motion
- Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
- Sequential Monte Carlo Methods for Dynamic Systems
- 1/ f Noise and multifractality from bristlecone pine growth explained by the statistical convergence of random data
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
- Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments
- Contemporary Bayesian Econometrics and Statistics
- Relationship between inflation rate and inflation uncertainty.
This page was built for publication: Bayesian Inference for ARFIMA Models
