Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to ``Bayesian analysis of vector ARFIMA processes

DOI10.1111/ANZS.12253MaRDI QIDQ5234447zbMATH OpenOpenAlexFDO

Authors Ross Doppelt, Keith O'Hara

Publication date 26 September 2019

Published in Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/anzs.12253

zbMATH Keywords

Bayesian inferencelong memorymultivariate time seriesposterior sampling

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
• Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
• Bayesian analysis of autoregressive fractionally integrated moving-average processes
• Fast Bayesian estimation for VARFIMA processes with stable errors
• Bayesian inference for ARFIMA models

Cites work

• BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
• Computationally efficient methods for two multivariate fractionally integrated models
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES

Cited in

(4)

• Estimation methods for stationary Gegenbauer processes
• Fast Bayesian estimation for VARFIMA processes with stable errors
• BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
• Modeling bivariate long-range dependence with general phase

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