Bayesian methods for change-point detection in long-range dependent processes
Author:
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/1467-9892.00286/fullpdf
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1. ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
2. Testing for a change of the long-memory parameter
3. The detection and estimation of long memory in stochastic volatility
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