• A Bayesian Approach to Estimating the Long Memory Parameter 

    Holan, Scott; McElroy, Tucker; Chakraborty, Sounak (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 ...