A multivariate generalized long memory model

DOI10.1016/J.CRMA.2010.02.001zbMATH Open1185.62154OpenAlexW2084289231MaRDI QIDQ961012FDOQ961012

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

Recommendations

• Multivariate modelling of long memory processes with common components
• Computationally efficient methods for two multivariate fractionally integrated models
• Long Memory in Nonlinear Processes
• scientific article; zbMATH DE number 4178494
• A generalized fractionally differencing approach in long-memory modeling

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

• Multivariate modelling of long memory processes with common components
• Modeling bivariate long‐range dependence with general phase
• Long memory random fields
• Computationally efficient methods for two multivariate fractionally integrated models
• SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure

This page was built for publication: A multivariate generalized long memory model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q961012)