Fast approximate likelihood evaluation for stable VARFIMA processes

Jeffrey Pai and Nalini Ravishanker

Statistics & Probability Letters, 2015, vol. 103, issue C, 160-168

Abstract: For VARFIMA models with sub-Gaussian stable errors, we present fast approximate likelihood computation by using a multivariate preconditioned conjugate gradient (MPCG) algorithm, and Monte Carlo integration over unobserved variables. We illustrate our approach on daily average temperatures measured at several US cities.

Keywords: Conjugate gradient algorithm; Fast Fourier transform; Long memory; Preconditioning; Sub-Gaussian stable errors (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.04.001

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