Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to Ravishanker, N. and B. K. Ray (1997) Australian Journal of Statistics 39 (3), 295–311

DOI10.1111/ANZS.12253zbMath1420.62378OpenAlexW2915155617MaRDI QIDQ5234447

Keith O'Hara, Ross Doppelt

Publication date: 26 September 2019

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/anzs.12253

zbMATH Keywords

long memoryBayesian inferencemultivariate time seriesposterior sampling

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Sampling theory, sample surveys (62D05)

Related Items (2)

Modeling bivariate long‐range dependence with general phase ⋮ Estimation methods for stationary Gegenbauer processes

Cites Work

• Computationally efficient methods for two multivariate fractionally integrated models
• CONSISTENCY OF THE AVERAGED CROSS‐PERIODOGRAM IN LONG MEMORY SERIES
• BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES

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