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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| Authors: | Ross Doppelt Keith O'Hara |
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| Institution: | 1. Department of Economics, 303 Kern Building, University Park, PA, 16802 USAAuthor to whom correspondence should be addressed. Department of Economics, 303 Kern Building, University Park, PA 16802, USA. e‐mail:;2. Department of Economics, 19 W. 4th St., 6FL, New York, NY, 10012 USA |
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| Abstract: | 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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| Keywords: | Bayesian inference long memory multivariate time series posterior sampling |
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