ESTIMATION OF MULTIVARIATE TIME SERIES

DOI10.1111/J.1467-9892.1987.TB00423.XMaRDI QIDQ4720615zbMATH OpenOpenAlexFDO

Authors Brian L. Shea

Publication date 1987

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1987.tb00423.x

zbMATH Keywords

algorithmautoregressive moving average modelexact likelihoodinverse cross covariancesKalman filtermultivariate time seriesvector ARMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Numerical approximation and computational geometry (primarily algorithms) (65D99)

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Cites work

• A note on obtaining the theoretical autocovariances of an ARMA process
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Modeling Multiple Times Series with Applications
• On the fitting of multivariate autoregressions, and the approximate canonical factorization of a spectral density matrix

Cited in

(18)

• Estimation and setting starting values in ARMA algorithms
• SUR estimation of multiple time-series models with heteroscedasticity and serial correlation of unknown form
• Degrees of freedom of a time series
• Analysis of variance for multivariate time series
• Superefficient estimation of multivariate trend.
• scientific article; zbMATH DE number 3878206 (Why is no real title available?)
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Computing optimal adjustment schemes for the general tool-wear problem
• On time-irreversibility and other non-linear features in time series
• Goodness‐of‐fit tests of normality for the innovations in ARMA models
• Contemporaneous bivariate time series
• Algorithm 808
• Goodness-of-fit tests for Laplace, Gaussian and exponential power distributions based on λ-th power skewness and kurtosis
• An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
• Vector moving average models: a review
• The exact likelihood for a multivariate ARMA model
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

Describes a project that uses

Uses Software

• NAG

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