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Fast approximate likelihood evaluation for stable VARFIMA processes

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  • Pai, Jeffrey
  • Ravishanker, Nalini

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.

Suggested Citation

  • Pai, Jeffrey & Ravishanker, Nalini, 2015. "Fast approximate likelihood evaluation for stable VARFIMA processes," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 160-168.
    • Handle: RePEc:eee:stapro:v:103:y:2015:i:c:p:160-168
    DOI: 10.1016/j.spl.2015.04.001
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    References listed on IDEAS

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