Fast Bayesian estimation for VARFIMA processes with stable errors
DOI10.1080/15598608.2010.10412011zbMath1469.62345OpenAlexW1963835359MaRDI QIDQ2324133
Jeffrey S. Pai, Ravishanker, Nalini
Publication date: 13 September 2019
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15598608.2010.10412011
preconditioningMarkov chain Monte Carlofast Fourier transformconjugate gradient algorithmsub-Gaussian stable errorsautoregressive fractionally integrated moving average model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Bayesian inference (62F15) Numerical methods for discrete and fast Fourier transforms (65T50) Stable stochastic processes (60G52) Preconditioners for iterative methods (65F08)
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