Fast approximate likelihood evaluation for stable VARFIMA processes

DOI10.1016/J.SPL.2015.04.001MaRDI QIDQ893979zbMATH OpenOpenAlexFDO

Authors Jeffrey S. Pai, Nalini Ravishanker

Publication date 23 November 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.04.001

zbMATH Keywords

preconditioninglong memoryconjugate gradient algorithmfast Fourier transformsub-Gaussian stable errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

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Cited in

(1)

• Fast Bayesian estimation for VARFIMA processes with stable errors

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