Advanced Search
MyIDEAS: Login

Maximum Likelihood Estimation of Stationary Multivariate ARFIMA Processes

Contents:

Author Info

Abstract

This paper considers the maximum likelihood estimation of a class of stationary and invertible vector autoregressive fractionally integrated moving-average (VARFIMA) processes considered in Luceno (1996). The coverage of this class of VARFIMA processes is quite general and includes the model considered in Andersen et al. (2003) for describing the behavior of realized volatility as one of its special case. We suggest an conditional likelihood Durbin-Levsinson (CLDL) algorithm which employs the multivariate Durbin-Levinson algorithm of Whittle (1963) to efficiently evaluate the conditional likelihood function of the VARFIMA processes exactly. The computational cost of implementing this algorithm is much lower than that proposed in Sowell (1989), thus allowing us to conduct a Monte Carlo experiment to investigate the finite sample performance of the CLDL algorithm for 3-dimensional VARFIMA processes under the moderate sample size up to 400. The simulation results are very satisfactory and reveal the great potential of using our method for characterizing the realized volatility in Andersen et al. (2003) and the spatial data studied in Haslett and Raftery (1989).

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.econ.sinica.edu.tw/upload/file/07-A011(all).2009120910505071.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Institute of Economics, Academia Sinica, Taipei, Taiwan in its series IEAS Working Paper : academic research with number 07-A011.

as in new window
Length: 21 pages
Date of creation: Dec 2007
Date of revision:
Handle: RePEc:sin:wpaper:07-a011

Contact details of provider:
Phone: 886-2-27822791
Fax: 886-2-27853946
Email:
Web page: http://www.econ.sinica.edu.tw/index.php?foreLang=en
More information through EDIRC

Related research

Keywords: Durbin-Levinson algorithm; Long memory; Maximum likelihood estimation; Multivariate time series;

Find related papers by JEL classification:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Pai, Jeffrey & Ravishanker, Nalini, 2009. "Maximum likelihood estimation in vector long memory processes via EM algorithm," Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4133-4142, October.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:sin:wpaper:07-a011

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (HsiaoyunLiu).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.