Maximum likelihood estimation of stationary multivariate ARFIMA processes
نویسندگان
چکیده
منابع مشابه
Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes
This paper considers the maximum likelihood estimation (MLE) of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in (26) of Luceño [1] or Model A of Lobato [2] where each component yi,t is a fractionally integrated process of order di, i = 1, . . . , r. Under the conditions outlined in Assumption 1 of this paper, th...
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ژورنال
عنوان ژورنال: Journal of Statistical Computation and Simulation
سال: 2010
ISSN: 0094-9655,1563-5163
DOI: 10.1080/00949650902773536