Browsing NTNU Open by Author "Myrvoll-Nilsen, Eirik"
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Computationally efficient Bayesian approximation of fractional Gaussian noise using AR1 processes
Myrvoll-Nilsen, Eirik (Master thesis, 2016)The goal of this thesis is to explore a way of performing efficient Bayesian inference of fractional Gaussian noise series using the R-INLA framework. Finding the MLE of the Hurst exponent and the innovation variance of ...