Maximum likelihood estimation of stationary multivariate ARFIMA processes

Journal of Statistical Computation and Simulation

Volumn 80, Issue 7, 2010, Pages 729-745

  Tsay, Wen Jen ^a  

^a INSTITUTE OF ECONOMICS   (Taiwan)

Author keywords

Durbin levinson algorithm; Long memory; Maximum likelihood estimation; Multivariate time series

Indexed keywords

EID: 77953411747     PISSN: 00949655     EISSN: 15635163     Source Type: Journal    
DOI: 10.1080/00949650902773536     Document Type: Article

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