| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1154249 | Statistics & Probability Letters | 2009 | 8 Pages |
Abstract
We present an approach via a multivariate preconditioned conjugate gradient (MPCG) algorithm for maximum likelihood estimation of parameters from vector ARFIMA models with Gaussian errors. This approach involves the solution of a block-Toeplitz system, and Monte Carlo integration over the process history.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jeffrey Pai, Nalini Ravishanker,