ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL

DOI10.1111/J.1467-9892.1990.TB00044.XMaRDI QIDQ3034708zbMATH OpenOpenAlexFDO

Authors F. J. Fernández

Publication date 1990

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1990.tb00044.x

zbMATH Keywords

automobile productionfirst derivativesfrequency domainhomogeneity hypothesismaximum likelihood estimationmultivariate exponential smoothing modelmultivariate time seriesscore test statisticscoring algorithmspectral likelihood functionstructural modelunobserved component

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Alternative models for stationary stochastic processes
• Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
• scientific article; zbMATH DE number 44406 (Why is no real title available?)
• Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle
• Model Specification Tests Based on Artificial Linear Regressions
• The construction and estimation of continuous time models and discrete approximations in econometrics
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling
• The efficient estimation of vector linear time series models
• The estimation of mixed moving average autoregressive systems
• Vector linear time series models

Cited in

(6)

• Multivariate exponential smoothing: a Bayesian forecast approach based on simulation
• Spectral estimation of a structural thin-plate smoothing model
• Simultaneous statistical inference in dynamic factor models: chi-square approximation and model-based bootstrap
• Analysis and Generalisation of a Multivariate Exponential Smoothing Model
• scientific article; zbMATH DE number 1208131 (Why is no real title available?)
• scientific article; zbMATH DE number 1963493 (Why is no real title available?)

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