A generalized least squares estimation method for invertible vector moving average models

DOI10.1016/S0165-1765(97)00210-3zbMath0896.90054OpenAlexW1966129317MaRDI QIDQ1389414

Gregorio R. Serrano, Rafael Flores de Frutos

Publication date: 30 June 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00210-3

zbMATH Keywords

model specificationVARMA models estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items

Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm, New approximation for ARMA parameters estimate, ROBUST RECURSIVE ANALYSIS OF SEASONAL MOVING AVERAGE MODELS

Cites Work

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• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Recursive estimation of mixed autoregressive-moving average order
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS