A simulation algorithm for non-causal VARMA processes

DOI10.1016/j.spl.2014.12.005zbMath1308.62170OpenAlexW2044029154MaRDI QIDQ2018622

Mihai C. Giurcanu

Publication date: 24 March 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.12.005

zbMATH Keywords

stationary processesJordan decompositionnon-causal processesVARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

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• Maximum likelihood estimation for noncausal autoregressive processes
• Time series: theory and methods
• Least absolute deviation estimation for all-pass time series models
• On the resultant property of the Fisher information matrix of a vector ARMA process
• NONCAUSAL VECTOR AUTOREGRESSION
• Improved multivariate portmanteau test
• Vector linear time series models
• Elements of multivariate time series analysis.

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