Browsing Statistics publications (MU) by Identifier "http://hdl.handle.net/10355/9124"
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A Bayesian Approach to Estimating the Long Memory Parameter
(Bayesian Analysis, 2009)We develop a Bayesian procedure for analyzing stationary long-range dependent processes. Specifically, we consider the fractional exponential model (FEXP) to estimate the memory parameter of a stationary long-memory Gaussian ...