Maximum likelihood estimation of stationary multivariate ARFIMA processes

DOI10.1080/00949650902773536zbMath1395.62261OpenAlexW2063830695MaRDI QIDQ3589972

Wen-Jen Tsay

Publication date: 17 September 2010

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

Full work available at URL: https://doi.org/10.1080/00949650902773536

zbMATH Keywords

maximum likelihood estimationlong memorymultivariate time seriesDurbin-Levinson algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Self-similar stochastic processes (60G18)

Related Items (9)

Mallows Distance in VARFIMA(0,d, 0) Processes ⋮ On nonparametric density estimation for multivariate linear long-memory processes ⋮ Mixed-correlated ARFIMA processes for power-law cross-correlations ⋮ Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ Modeling bivariate long‐range dependence with general phase ⋮ Convergence analysis of a synchronous gradient estimation scheme for time-varying parameter systems ⋮ A generalization of a Gaussian semiparametric estimator on multivariate long-range dependent processes ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors ⋮ Rényi entropy and divergence for VARFIMA processes based on characteristic and impulse response functions

Uses Software

• longmemo

Cites Work

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• Modeling and Forecasting Realized Volatility

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