Estimation of the Polynomial Matrices of Vector Moving Average Processes

DOI10.1080/00949658708811040zbMath0726.62148OpenAlexW2018111797MaRDI QIDQ3350578

Tarmo M. Pukkila, Sergio G. Koreisha

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1080/00949658708811040

zbMATH Keywords

simulationmultiple time seriesmaximum likelihood procedurespolynomial matrices of vector time series modelspreliminary linear estimationsum of squares function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items

FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

Cites Work

• A vector autoregressive moving average time series approach for describing asymmetries of antennal control of two millipede species
• Computation of the exact likelihood function of multivariate moving average models
• The exact likelihood function of multivariate autoregressive-moving average models
• The effect of transformations of variables upon their correlation coefficients
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Modeling Multiple Times Series with Applications
• Recursive estimation of mixed autoregressive-moving average order
• Vector linear time series models
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS