The exact Gaussian likelihood estimation of time-dependent VARMA models

DOI10.1016/j.csda.2014.07.006zbMath1466.62017OpenAlexW2092362485MaRDI QIDQ1659153

Guy Mélard, Abdelkamel Alj, Kristján Jónasson

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/173305/1/Articl_AJM_V22.pdf

zbMATH Keywords

time-varying modelsCholesky decomposition methodvector VARMA

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• Optimization Toolbox
• FinTS
• AS 311

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• Exact maximum likelihood estimation of partially nonstationary vector ARMA models
• A Bayesian analysis of moving average processes with time-varying parameters
• Modeling by shortest data description
• Time series: theory and methods.
• Estimating the dimension of a model
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• The exact quasi-likelihood of time-dependent ARMA models
• A frequency domain test for detecting nonstationary time series
• On an autoregressive model with time-dependent coefficients
• Exact maximum likelihood estimation for non-stationary periodic time series models
• NONCAUSAL VECTOR AUTOREGRESSION
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Regression and time series model selection in small samples
• The evaluation of exact maximum likelihood estimates for varma models
• Computation of the theoretical autocovariance function for a vector arma process
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• The exact likelihood of an autoregressive-moving average model with incomplete data
• The Exact Likelihood Function of a Vector Autoregressive Moving Average Model
• A note on obtaining the theoretical autocovariances of an ARMA process
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
• Analysis of Financial Time Series

This page was built for publication: The exact Gaussian likelihood estimation of time-dependent VARMA models