A generalized least squares estimation method for VARMA models

DOI10.1080/02331880213193zbMath1003.62072OpenAlexW2002261868MaRDI QIDQ3153643

Rafael Flores de Frutos, Gregorio R. Serrano

Publication date: 2 February 2003

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880213193

zbMATH Keywords

generalized least squaresmodel specificationVARMA models estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models ⋮ Fast estimation methods for time-series models in state–space form ⋮ A simple nearly unbiased estimator of cross‐covariances

Cites Work

• A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
• A method for autoregressive-moving average estimation
• Recursive estimation of mixed autoregressive-moving average order
• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models

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