Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes

DOI10.1016/0165-1765(87)90165-0zbMath1328.62531OpenAlexW1985666753MaRDI QIDQ899930

Stefan Mittnik

Publication date: 1 January 2016

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(87)90165-0

Mathematics Subject Classification ID

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

Related Items (5)

Multivariate time series analysis with state space models ⋮ Recursive estimation in econometrics ⋮ 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

Cites Work

• Unnamed Item
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS

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