Causality conditions and autocovariance calculations in PVAR models
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Publication:5438711
DOI10.1080/10629360600664617zbMath1127.62071OpenAlexW1981131774MaRDI QIDQ5438711
Publication date: 28 January 2008
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10629360600664617
periodic stationarityperiodic autocovariancesdiscrete-time periodic Lyapunov equationperiodic VAR models
Related Items (6)
On some probabilistic properties of double periodic AR models ⋮ Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes ⋮ A Note on Calculating Autocovariances of PeriodicARMAModels ⋮ Periodic stationarity of random coefficient periodic autoregressions ⋮ Calculating the autocovariances and the likelihood for periodic V ARMA models ⋮ Explosive strong periodic autoregression with multiplicity one
Cites Work
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- The difference periodic Ricati equation for the periodic prediction problem
- Numerical Solution of the Stable, Non-negative Definite Lyapunov Equation Lyapunov Equation
- A numerical algorithm to solve<tex>A^{T}XA - X = Q</tex>
- An algorithm for solving the matrix equationX = FXFT+S
- ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
- PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
- Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
- Periodic Time Series Models
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