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Publication:3477847
zbMath0699.62085MaRDI QIDQ3477847
Publication date: 1990
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
algorithmsclosed form expressionsmultivariate time seriesautoregressive moving average processesexact maximum likelihood estimationcomputing autocovariance sequences of multivariate ARMA processesMatrix expressionstheoretical autocovariances
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)
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Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples ⋮ On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors ⋮ New approximation for ARMA parameters estimate ⋮ Computation of vector ARMA autocovariances ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ The exact likelihood function of a vector autoregressive moving average process ⋮ Multistep ahead forecasting of vector time series ⋮ Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models ⋮ Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
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