Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
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Publication:1252691
DOI10.1016/0047-259X(78)90034-9zbMath0394.62067OpenAlexW2035444983MaRDI QIDQ1252691
Publication date: 1978
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0047-259x(78)90034-9
Difference EquationsTime SeriesMixed Autoregressive Moving Average Multivariate ProcessesStochastic Equations
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SOME DOUBLY STOCHASTIC TIME SERIES MODELS ⋮ ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS ⋮ Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients ⋮ Fitting time series models to nonstationary processes ⋮ On a characterization of optimal predictors for nonstationary ARMA processes ⋮ The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ Nonstationary Yule-Walker equations ⋮ On the Kullback-Leibler information divergence of locally stationary processes ⋮ A note on the modelling and analysis of vector ARMA processes with nonstationary innovations ⋮ On the prediction of multivariate arma processes with a time dependent covariance structure ⋮ ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS ⋮ AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE ⋮ Nonparametric factor analysis of residual time series ⋮ Analysis of multivariate arma processes with non-stationary innovations ⋮ Threshold Vector Arma Models ⋮ Predictive, finite-sample model choice for time series under stationarity and non-stationarity ⋮ On parameter estimation for locally stationary long-memory processes ⋮ On prediction with time dependent arma models ⋮ CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY ⋮ The exact quasi-likelihood of time-dependent ARMA models ⋮ Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis ⋮ On recursive estimation for time varying autoregressive processes
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