Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models

DOI10.1111/j.1467-9892.2006.00515.xzbMath1164.62376OpenAlexW2120648119WikidataQ56505953 ScholiaQ56505953MaRDI QIDQ5430505

No author found.

Publication date: 16 December 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00515.x

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carlonon-Gaussianneuron spikesgeneralized long-memory time series modellikelihood-based analysis

Mathematics Subject Classification ID

Related Items (10)

Long memory with stochastic variance model: a recursive analysis for US inflation ⋮ Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ ON THE CONSISTENCY OF THE LEAST SQUARES ESTIMATOR IN MODELS SAMPLED AT RANDOM TIMES DRIVEN BY LONG MEMORY NOISE: THE RENEWAL CASE ⋮ On the Consistency of Least Squares Estimator in Models Sampled at Random Times Driven by Long Memory Noise: The Jittered Case ⋮ Long memory and regime switching in the stochastic volatility modelling ⋮ Arc length tests for equivalent autocovariances ⋮ Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models ⋮ Fitting non-Gaussian persistent data ⋮ Approximate state space modelling of unobserved fractional components ⋮ Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Uses Software

• longmemo

Cites Work

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• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
• Bayesian analysis of long memory and persistence using ARFIMA models
• The detection and estimation of long memory in stochastic volatility
• State space modeling of long-memory processes
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• Sequential Monte Carlo Methods in Practice
• Bayesian analysis of autoregressive fractionally integrated moving-average processes
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Bayesian Measures of Model Complexity and Fit
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• The memory of stochastic volatility models

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