A Bayesian approach to estimating the long memory parameter

DOI10.1214/09-BA406zbMATH Open1330.62136OpenAlexW1964226618MaRDI QIDQ5962435FDOQ5962435

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

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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)

Cited In (12)

• Bayesian semi-parametric estimation of the long-memory parameter under FEXP-priors
• Estimation methods for stationary Gegenbauer processes
• Space‐time modelling of trends in temperature series
• Bayesian semiparametric inference on long-range dependence
• Bayesian estimation of common long-range dependent models
• Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach
• Covariate‐based cepstral parameterizations for time‐varying spatial error covariances
• Bayesian wavelet analysis of autoregressive fractionally integrated moving-average processes
• A novel Bayesian approach to estimate long memory parameter
• Bayesian estimation of long memory models and its application to exchange rates
• Non-informative priors in the case of Gaussian long-memory processes
• Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications

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