A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models

DOI10.1080/07474938.2011.607343zbMath1491.62105OpenAlexW2004301780MaRDI QIDQ5080149

Christian Kascha

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/6921

zbMATH Keywords

forecastingestimation algorithmsVARMA models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Vector autoregressive moving average identification for macroeconomic modeling: a new methodology ⋮ Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ Estimation and forecasting in vector autoregressive moving average models for rich datasets ⋮ On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations ⋮ Bayesian modeling and forecasting of vector autoregressive moving average processes ⋮ An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes ⋮ Correcting the bias of the sample cross‐covariance estimator ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages ⋮ A simple nearly unbiased estimator of cross‐covariances

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Linear aggregation of vector autoregressive moving average processes
• Linear transformations of vector ARMA processes
• Identification of echelon canonical forms for vector linear processes using least squares
• 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
• VAR analysis, nonfundamental representations, Blaschke matrices
• Business cycle analysis without much theory: A look at structural VARs
• A note on an iterative least-squares estimation method for ARMA and VARMA models
• The exact likelihood function of multivariate autoregressive-moving average models
• A generalized least squares estimation method for VARMA models
• The Fitting of Time-Series Models
• Multivariate linear time series models
• The behaviour of the likelihood function for ARMA models
• GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
• A method for autoregressive-moving average estimation
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Recursive estimation of mixed autoregressive-moving average order
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
• Elements of multivariate time series analysis
• A new look at the statistical model identification

This page was built for publication: A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models