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Strictly stationary solutions of ARMA equations with fractional noise

✍ Scribed by Bernd Vollenbröker


Book ID
115225869
Publisher
John Wiley and Sons
Year
2012
Tongue
English
Weight
377 KB
Volume
33
Category
Article
ISSN
0143-9782

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## Abstract A new sampling‐based Bayesian approach for fractionally integrated autoregressive moving average (ARFIMA) processes is presented. A particular type of ARMA process is used as an approximation for the ARFIMA in a Metropolis–Hastings algorithm, and then importance sampling is used to adju