Calculating the autocovariances and the likelihood for periodic V ARMA models

DOI10.1080/00949650701692291zbMath1169.62072OpenAlexW2100808511MaRDI QIDQ3636723

Abdelhakim Aknouche, Fayçal Hamdi

Publication date: 29 June 2009

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

Full work available at URL: https://doi.org/10.1080/00949650701692291

zbMATH Keywords

Kalman filterlikelihood evaluationperiodic autocovariancesdiscrete-time periodic Lyapunov equationperiodic Chandrasekhar-type recursions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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