Australian & New Zealand Journal of Statistics

Posterior sampling in two classes of multivariate fractionally integrated models: corrigendum to Ravishanker, N. and B. K. Ray (1997) Australian Journal of Statistics 39 (3), 295–311

Journal Article

Summary 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.

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