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首页> 外文期刊>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
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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

机译：在两类多元分数积分模型中进行后验采样：Ravishanker，N.和B. K. Ray（1997）澳大利亚统计杂志39（3），295-311

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摘要

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.We show that existing tools for Bayesian estimation of FIVARs actually produce estimates of VARFIs, distinct models of independent interest.
机译：我们讨论带分数积分的单变量自回归综合移动平均（ARIMA）模型的两个不同多元概括的后验采样。 Ravishanker＆Ray提出的现有贝叶斯估计方法声称为分数积分矢量自回归移动平均值（FIVARMA）提供后验算法。我们证明了该算法可产生矢量自回归分数积分移动平均值（VARFIMAs）的后验画，这是贝叶斯文献先前未曾关注的具有独立利益的模型。 ，具有独立利益的独特模式。

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