A complete VARMA modelling methodology based on scalar components

DOI10.1111/j.1467-9892.2007.00568.xzbMath1198.62086OpenAlexW2025140783MaRDI QIDQ3552837

George Athanasopoulos, Farshid Vahid

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00568.x

zbMATH Keywords

identificationmultivariate time series

Mathematics Subject Classification ID

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

Related Items (8)

Vector autoregressive moving average identification for macroeconomic modeling: a new methodology ⋮ Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form ⋮ On weak identification in structural VARMA models ⋮ Estimation and forecasting in vector autoregressive moving average models for rich datasets ⋮ A type of matrix Padé approximant inspired by scalar component models ⋮ A note on the initial identification of scalar component models ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages ⋮ USING VARMA TECHNIQUE TO MEASURE THE PERFORMANCE QUALITY OF E-SERVICE-FIFA2014

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Forecasting and testing in co-integrated systems
• Codependent cycles
• Testing multiple equation systems for common nonlinear components
• Recursive estimation of mixed autoregressive-moving average order
• A Multivariate Time Series Analysis of Some Flour Price Data

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