FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

DOI10.1111/J.1467-9892.1989.TB00032.XzbMath0686.62071OpenAlexW2050741121MaRDI QIDQ4204975

Tarmo M. Pukkila, Sergio G. Koreisha

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1989.tb00032.x

zbMATH Keywords

maximum likelihood estimationlinear methodsmultiple time seriesvector autoregressive moving-averagesum of squares functiondouble regressionidentification of nonzero elementsVARMA polynomial structures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Unnamed Item
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• On the use of autoregressive order determination criteria in multivariate white noise tests
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Parsimony and Its Importance in Time Series Forecasting
• Recursive estimation of mixed autoregressive-moving average order
• Vector linear time series models

Related Items (15)

A generalized least squares estimation method for VARMA models ⋮ Inference on transformed stationary time series ⋮ A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models ⋮ A generalized least squares estimation method for invertible vector moving average models ⋮ Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages ⋮ New approximation for ARMA parameters estimate ⋮ New approaches for determining the degree of differencing necessary to induce stationarity in ARIMA models ⋮ Assessing uncertainty in the American Indian trust fund ⋮ Model identification of ARIMA family using genetic algorithms ⋮ Estimation of the Polynomial Matrices of Vector Moving Average Processes ⋮ Estimating the system order by subspace methods ⋮ Fast estimation methods for time-series models in state–space form ⋮ ROBUST RECURSIVE ANALYSIS OF SEASONAL MOVING AVERAGE MODELS ⋮ A simple nearly unbiased estimator of cross‐covariances ⋮ On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models

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