Bayesian Inference for Time Series with Stable Innovations
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DOI: 10.1111/1467-9892.00088
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Citations
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Cited by:
- John P. Nolan & Nalini Ravishanker, 2009. "Simultaneous prediction intervals for ARMA processes with stable innovations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(3), pages 235-246.
- Peters, G.W. & Sisson, S.A. & Fan, Y., 2012. "Likelihood-free Bayesian inference for α-stable models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3743-3756.
- repec:dau:papers:123456789/6326 is not listed on IDEAS
- Pai, Jeffrey & Ravishanker, Nalini, 2015. "Fast approximate likelihood evaluation for stable VARFIMA processes," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 160-168.
- Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
- Marco J. Lombardi & Giorgio Calzolari, 2008.
"Indirect Estimation of α-Stable Distributions and Processes,"
Econometrics Journal, Royal Economic Society, vol. 11(1), pages 193-208, March.
- Marco J. Lombardi & Giorgio Calzolari, 2004. "Indirect estimation of alpha-stable distributions and processes," Econometrics Working Papers Archive wp2004_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.
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