Data analysis using regression models with missing observations and long-memory: an application study

DOI10.1016/J.CSDA.2005.03.007MaRDI QIDQ959290zbMATH OpenOpenAlexFDO

Authors Wilfredo Palma, Pilar L. Iglesias, Héctor Jorquera

Publication date 11 December 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10533/177793

zbMATH Keywords

ARFIMA modelBayesian estimationKalman filterlong memory processesparameter estimationregression model

Mathematics Subject Classification ID

Bayesian inference (62F15) Generalized linear models (logistic models) (62J12) 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

(5)

• When long memory meets the Kalman filter: a comparative study
• Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
• Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
• Analysis of tidal data and datums: accessible examples of harmonic modeling with autocorrelation and imputation
• Miscellanea. Statistical analysis of incomplete long-range dependent data

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