Maximum likelihood estimation in vector long memory processes via EM algorithm

DOI10.1016/J.CSDA.2009.04.021MaRDI QIDQ961903zbMATH OpenOpenAlexFDO

Authors Jeffrey S. Pai, Nalini Ravishanker

Publication date 1 April 2010

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

Full work available at URL https://doi.org/10.1016/j.csda.2009.04.021

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
• Fractional differencing
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Indirect estimation of ARFIMA and VARFIMA models
• Log-periodogram regression of time series with long range dependence
• Long‐Memory Time Series
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.

Cited in

(4)

• A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
• A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing
• Modeling bivariate long-range dependence with general phase

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