A multivariate generalized long memory model

DOI10.1016/J.CRMA.2010.02.001zbMath1185.62154OpenAlexW2084289231MaRDI QIDQ961012

Abdou Kâ Diongue

Publication date: 29 March 2010

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2010.02.001

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Modeling bivariate long‐range dependence with general phase

Cites Work

• The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence
• A fast likelihood approximation for vector general linear processes with long series: application to fractional differencing

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