A novel Bayesian approach to estimate long memory parameter

DOI10.1080/00949655.2021.1985496OpenAlexW4214929048MaRDI QIDQ3390609

Yi Luo, Zhonglin Wan, Yirong Huang, Hong-Yan Li

Publication date: 24 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2021.1985496

zbMATH Keywords

long memoryHurst exponentBayesian methodologyfractional differencingARFIMA

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Bayesian estimation of fractional difference parameter in ARFIMA models and its application

Uses Software

• WinBUGS
• longmemo
• Gibbsit

Cites Work

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