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Consistent order selection for ARFIMA processes

The Annals of Statistics, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Huang, Hsueh-Han   +3 more
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Efficient estimation method for generalized ARFIMA models

Communications in Statistics - Theory and Methods, 2022
This paper focuses on pretest and shrinkage estimation strategies for generalized autoregressive fractionally integrated moving average (GARFIMA) models when some of the regression parameters are possible to restrict to a subspace.
S. S. Pandher   +3 more
openaire   +2 more sources

Bayesian Inference for ARFIMA Models

Journal of Time Series Analysis, 2019
This article develops practical methods for Bayesian inference in the autoregressive fractionally integrated moving average (ARFIMA) model using the exact likelihood function, any proper prior distribution, and time series that may have thousands of observations.
Durham, Garland   +3 more
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BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES

Australian Journal of Statistics, 1997
SummaryA general framework is presented for Bayesian inference of multivariate time series exhibiting long‐range dependence. The series are modelled using a vector autoregressive fractionally integrated moving‐average (VARFIMA) process, which can capture both short‐term correlation structure and long‐range dependence characteristics of the individual ...
Ravishanker, Nalini, Ray, Bonnie K.
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Jeffrey's divergence between ARFIMA processes

Digital Signal Processing, 2018
Abstract The symmetric Kullback–Leibler divergence known as Jeffrey's divergence (JD) has found applications in signal and image processing, from radar clutter modeling to texture analysis. Recently, several studies were done on the JD between ergodic wide-sense stationary autoregressive (AR) and/or moving average (MA) processes.
Mahdi Saleh   +2 more
openaire   +1 more source

Penerapan Model Arfima-Garch Menggunakan Variasi Estimasi Parameter Pembeda D Pada Data Long Memory

J Statistika, 2023
Emas menjadi salah satu aset keuangan bagi negara dan menjadi komponen cadangan moneter global untuk perdagangan dan perlindungan ketika menghadapi krisis keuangan secara tiba-tiba.
Isran K. Hasan   +2 more
semanticscholar   +1 more source

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