| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1151446 | Statistics & Probability Letters | 2015 | 9 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jeffrey Pai, Nalini Ravishanker,