A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes

DOI10.1016/j.spl.2009.01.022zbMath1160.62348OpenAlexW2004140274MaRDI QIDQ1017833

Ravishanker, Nalini, Jeffrey S. Pai

Publication date: 12 May 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.01.022

zbMATH Keywords

daily temperatures

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Monte Carlo methods (65C05)

Related Items (5)

Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ Modeling bivariate long‐range dependence with general phase ⋮ Computationally efficient methods for two multivariate fractionally integrated models ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors ⋮ Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions

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