A Bayesian approach to estimating the long memory parameter

DOI10.1214/09-BA406MaRDI QIDQ5962435zbMATHOpenAlexFDO

Authors Scott H. Holan, Tucker S. McElroy, Sounak Chakraborty

Publication date 12 February 2016

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1340370394

zbMATH Keywords

Bayesian model averaginglong-range dependencereversible jump Markov chain Monte Carlospectral densityhierarchical BayesFEXP

Mathematics Subject Classification ID

Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(15)

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• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
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• Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
• A novel Bayesian approach to estimate long memory parameter
• Space‐time modelling of trends in temperature series
• Bayesian estimation of long memory models and its application to exchange rates
• Long-range dependence and approximate Bayesian computation
• Bayesian semiparametric long memory models for discretized event data
• Bayesian semiparametric inference on long-range dependence
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
• A note on Bayesian inference for long-range dependence of a stationary two-state process
• Non-informative priors in the case of Gaussian long-memory processes
• Estimation methods for stationary Gegenbauer processes
• Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes

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