Some efficient computational procedures for high order ARMA models

DOI10.1080/00949657908810273zbMath0414.62067OpenAlexW2104938670MaRDI QIDQ3049715

Granville Tunnicliffe Wilson

Publication date: 1978

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949657908810273

zbMATH Keywords

Laurent seriescomputational proceduresautoregressive moving average processCramer- Wold factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Power series (including lacunary series) in one complex variable (30B10)

Related Items (22)

On confidence intervals and tests for autocorrelations ⋮ The covariance matrix of ARMA errors in closed form ⋮ Fast optimization of the exact likelihood of AR and ARMA processes ⋮ A note on reparameterizing a vector autoregressive moving average model to enforce stationarity ⋮ Computing the likelihood and its dierivatives for a gaussian ARMA model ⋮ Spectral Decomposition of the AR Metric ⋮ ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES ⋮ A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models ⋮ On the numerical implementation of the generalized least squares procedure for arma estimation ⋮ ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models ⋮ Two new approaches to robust estimation in time series ⋮ Estimation error and the specification of unobserved component models ⋮ Computation of the exact information matrix of Gaussian dynamic regression time series models ⋮ MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION ⋮ The Autoregressive metric for comparing time series models ⋮ Bartlett's formulae -- closed forms and recurrent equations ⋮ A note on the derivation of theoretical autocovariances for ARMA models ⋮ The exact quasi-likelihood of time-dependent ARMA models ⋮ The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

Cites Work

• Unnamed Item
• The Fitting of Time-Series Models
• The recursive nature of the stationarity and invertibility restraints on the parameters of mixed autoregressive-moving average processes
• Weighting Coefficients for the Prediction of Stationary Time Series from the Finite Past
• An Algorithm for the Inversion of Finite Toeplitz Matrices
• Algorithms for Classical Stability Problems
• Factorization of the Covariance Generating Function of a Pure Moving Average Process

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