Abstract
We discuss posterior sampling for two distinct multivariate generalisations of the univariate autoregressive integrated moving average (ARIMA) model with fractional integration. The existing approach to Bayesian estimation, introduced by Ravishanker & Ray, claims to provide a posterior-sampling algorithm for fractionally integrated vector autoregressive moving averages (FIVARMAs). We show that this algorithm produces posterior draws for vector autoregressive fractionally integrated moving averages (VARFIMAs), a model of independent interest that has not previously received attention in the Bayesian literature.
Original language | English (US) |
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Pages (from-to) | 85-87 |
Number of pages | 3 |
Journal | Australian and New Zealand Journal of Statistics |
Volume | 61 |
Issue number | 1 |
DOIs |
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State | Published - Mar 2019 |
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty