Computationally efficient methods for two multivariate fractionally integrated models

Sela, Rebecca J., Hurvich, Clifford M. . Journal of Time Series Analysis 2009. 30 (6) :631-651

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Bibtex

@article{CIS-240139,
  Author = {Sela, Rebecca J. and Hurvich, Clifford M.},
  Title = {Computationally efficient methods for two multivariate fractionally integrated models},
  Journal = {Journal of Time Series Analysis},
  Volume = {30},
  Number = {6},
  Year = {2009},
  Pages = {631--651},
  Keywords = {Simulation, Algorithms, Vector autoregression, Long memory, ARFIMA, circulant embedding}
}

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