ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION

DOI10.1081/ETC-120014349MaRDI QIDQ4443972zbMATH OpenFDO

Authors John W. Galbraith, Aman Ullah, Victoria Zinde-Walsh

Publication date 22 March 2004

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/ETC-120014349

zbMATH Keywords

vector autoregressionvector moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A simple noniterative estimator for moving average models
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• scientific article; zbMATH DE number 3942888 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• On some simple, autoregression-based estimation and identification techniques for ARMA models
• Prediction of multivariate time series by autoregressive model fitting

Cited in

(10)

• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting
• Vector moving average models
• Complete Blind Subspace Deconvolution
• scientific article; zbMATH DE number 3978206 (Why is no real title available?)
• The inverse Kullback-Leibler method for fitting vector moving averages
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• GARCH Model Estimation Using Estimated Quadratic Variation
• Shrinkage and noniterative estimation for moving average models with structural breaks
• Long-run wavelet-based correlation for financial time series

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