An efficient method for the estimation of multivariate moving averge models

DOI10.1080/03610928808829871MaRDI QIDQ3474140zbMATH OpenOpenAlexFDO

Authors Pentti Saikkonen, Ritva Luukkonen

Publication date 1988

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928808829871

zbMATH Keywords

asymptotic normalitylong autoregressionmultivariate moving average modelStrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• Autoregressive and window estimates of the inverse correlation function
• Computation of the exact likelihood function of multivariate moving average models
• Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function
• ESTIMATION OF THE ORDER OF A MOVING AVERAGE MODEL FROM AUTOREGRESSIVE AND WINDOW ESTIMATES OF THE INVERSE CORRELATION FUNCTION
• Modeling Multiple Times Series with Applications
• Multivariate linear time series models
• REGRESSION, AUTOREGRESSION MODELS
• The evaluation of certain quadratic forms occurring in autoregressive model fitting
• The information matrices of the parameters of multiple mixed time series

Cited in

(12)

• Superefficient estimation of multivariate trend.
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Vector moving average models
• Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function
• A Proposal for Estimation of the Parameters of Multivariate Moving-average Models
• scientific article; zbMATH DE number 703123 (Why is no real title available?)
• ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
• The inverse Kullback-Leibler method for fitting vector moving averages
• Some Aspects of Forecasting with Vector Moving Average Processes
• Yule-Walker estimation for the moving-average model

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