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Bayesian Inference for ARFIMA Models

Published:2019-01-02 Issue:4 Volume:40 Page:388-410
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Durham Garland¹,Geweke John²³,Porter‐Hudak Susan⁴,Sowell Fallaw⁵

Affiliation:

1. Orfalea College of BusinessCalifornia State Polytechnic University San Luis Obispo, CA, USA

2. Department of EconomicsUniversity of Washington Seattle, WA, USA

3. School of BusinessUniversity of Technology Sydney Sydney, NSW, Australia

4. Northern Illinois University DeKalb, IL, USA

5. Tepper School of BusinessCarnegie Mellon University Pittsburgh, PA, USA

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12443

Reference37 articles.

1. Analysing inflation by the fractionally integrated ARFIMA-GARCH model

2. Modeling and forecasting from trend-stationary long memory models with applications to climatology

3. Testing for a change of the long-memory parameter

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3. Bayesian estimation of fractional difference parameter in ARFIMA models and its application;Information Sciences;2023-06

4. Bayesian estimation of Gegenbauer processes;Journal of Statistical Computation and Simulation;2022-11-06

5. A novel Bayesian approach to estimate long memory parameter;Journal of Statistical Computation and Simulation;2022-03-03

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