A Bayesian approach to estimating the long memory parameter

DOI10.1214/09-BA406zbMath1330.62136OpenAlexW1964226618MaRDI QIDQ5962435

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

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

long-range dependencespectral densityBayesian model averagingFEXPhierarchical Bayesreversible jump Markov chain Monte Carlo

Mathematics Subject Classification ID

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

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