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BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL - MaRDI portal

BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL (Q4432539)

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scientific article; zbMATH DE number 1997196
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English
BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL
scientific article; zbMATH DE number 1997196

    Statements

    title
    BAYESIAN ANALYSIS OF A FRACTIONAL COINTEGRATION MODEL (English)
    0 references
    DOI
    10.1081/ETC-100103824
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    author
    Gael M. Martin
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    publication date
    27 October 2003
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    zbMATH DE Number
    1997196
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    zbMATH Keywords
    fractional cointegration
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    Jeffreys prior
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    Markov chain Monte Carlo
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    ARFIMA processes
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    OpenAlex ID
    W1969575622
    0 references
     
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