There is hardly any literature on modelling nonlinear dynamic relations involving nonnormal time series data. This is a serious lacuna because nonnormal data are far more abundant than normal ones, ...

Bayesian estimation and maximum likelihood methods represent two central paradigms in modern statistical inference. Bayesian estimation incorporates prior beliefs through Bayes’ theorem, updating ...

We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent ...