Fast approximate likelihood evaluation for stable VARFIMA processes

DOI10.1016/j.spl.2015.04.001zbMath1328.65036OpenAlexW2068634611MaRDI QIDQ893979

Jeffrey S. Pai, Ravishanker, Nalini

Publication date: 23 November 2015

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

Full work available at URL: https://doi.org/10.1016/j.spl.2015.04.001

zbMATH Keywords

preconditioningfast Fourier transformconjugate gradient algorithmlong memorysub-Gaussian stable errors

Mathematics Subject Classification ID

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