A novel Bayesian approach to estimate long memory parameter-Reference-Cited by-同舟云学术

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A novel Bayesian approach to estimate long memory parameter

Published:2022-03-03 Issue:5 Volume:92 Page:1078-1091
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Wan Zhonglin¹,Li Hongyan²,Luo Yi³,Huang Yirong⁴^ORCID

Affiliation:

1. Department of Finance and Economics, Dongguan Polytechnic, Dongguan, People’s Republic of China

2. School of Computer and Information, City College of Dongguan University of Technology, Dongguan, People’s Republic of China

3. Management College, Guangdong Polytechnic Normal University, Guangzhou, People’s Republic of China

4. School of Business, Sun Yat-sen University, Guangzhou, People’s Republic of China

Funder

National Social Science Foundation of China

Key Project of Guangdong Educational Research

Dongguan Polytechnic

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2021.1985496

Reference28 articles.

1. Long-Memory Time Series

2. Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances

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