A multivariate generalized long memory model

DOI10.1016/J.CRMA.2010.02.001MaRDI QIDQ961012zbMATH OpenOpenAlexFDO

Authors Abdou Kâ Diongue

Publication date 29 March 2010

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2010.02.001

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence

Cited in

(7)

• Multivariate modelling of long memory processes with common components
• Long memory random fields
• Definitions and representations of multivariate long-range dependent time series
• Computationally efficient methods for two multivariate fractionally integrated models
• Modeling bivariate long-range dependence with general phase
• SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure
• The fractional multivariate normal tempered stable process

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