Corrigendum: BAYESIAN ANALYSIS OF VECTOR ARFIMA PROCESSES (Australian Journal of Statistics, (1997), 39, 3, (295-311), 10.1111/j.1467-842X.1997.tb00693.x)

Ross Doppelt, Keith O'Hara

Research output: Contribution to journalComment/debate

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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 languageEnglish (US)
Pages (from-to)85-87
Number of pages3
JournalAustralian and New Zealand Journal of Statistics
Volume61
Issue number1
DOIs
StatePublished - Mar 2019

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All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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