Maximum likelihood estimation in vector long memory processes via EM algorithm

DOI10.1016/j.csda.2009.04.021zbMath1453.62169OpenAlexW2006462491MaRDI QIDQ961903

Ravishanker, Nalini, Jeffrey S. Pai

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) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items

Modeling bivariate long‐range dependence with general phase

Cites Work

• Unnamed Item
• Unnamed Item
• Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence
• Indirect estimation of ARFIMA and VARFIMA models
• Log-periodogram regression of time series with long range dependence
• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• Long‐Memory Time Series
• Fractional differencing
• BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES
• 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
• Tools for statistical inference. Methods for the exploration of posterior distributions and likelihood functions.