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Bayesian prediction for vector ARFIMA processes

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  • Ravishanker, Nalini
  • Ray, Bonnie K.

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  • Ravishanker, Nalini & Ray, Bonnie K., 2002. "Bayesian prediction for vector ARFIMA processes," International Journal of Forecasting, Elsevier, vol. 18(2), pages 207-214.
    • Handle: RePEc:eee:intfor:v:18:y:2002:i:2:p:207-214
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    References listed on IDEAS

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    1. Hosoya, Yuzo, 1996. "The quasi-likelihood approach to statistical inference on multiple time-series with long-range dependence," Journal of Econometrics, Elsevier, vol. 73(1), pages 217-236, July.
    2. Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
    3. Heyde, C. C. & Gay, R., 1993. "Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 45(1), pages 169-182, March.
    4. Sethuraman, S. & Basawa, I. V., 1997. "The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence," Statistics & Probability Letters, Elsevier, vol. 31(4), pages 285-293, February.
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    Cited by:

    1. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    2. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    3. Rebecca J. Sela & Clifford M. Hurvich, 2009. "Computationally efficient methods for two multivariate fractionally integrated models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 631-651, November.
    4. Ross Doppelt & Keith O'Hara, 2018. "Bayesian Estimation of Fractionally Integrated Vector Autoregressions and an Application to Identified Technology Shocks," 2018 Meeting Papers 1212, Society for Economic Dynamics.
    5. Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.

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