Estimation of the Polynomial Matrices of Vector Moving Average Processes

DOI10.1080/00949658708811040MaRDI QIDQ3350578zbMATH OpenOpenAlexFDO

Authors Sergio G. Koreisha, Tarmo M. Pukkila

Publication date 1987

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658708811040

zbMATH Keywords

simulationmultiple time seriesmaximum likelihood procedurespolynomial matrices of vector time series modelspreliminary linear estimationsum of squares function

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• scientific article; zbMATH DE number 3996943
• Estimation of parameters of moving average processes
• scientific article; zbMATH DE number 3843029
• An efficient method for the estimation of multivariate moving averge models

Cites work

• A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
• A vector autoregressive moving average time series approach for describing asymmetries of antennal control of two millipede species
• Computation of the exact likelihood function of multivariate moving average models
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Modeling Multiple Times Series with Applications
• Recursive estimation of mixed autoregressive-moving average order
• The effect of transformations of variables upon their correlation coefficients
• The exact likelihood function of multivariate autoregressive-moving average models
• Vector linear time series models

Cited in

(5)

• MA estimation in polynomial time.
• The inverse Kullback-Leibler method for fitting vector moving averages
• scientific article; zbMATH DE number 3996943 (Why is no real title available?)
• Estimating Wold matrices and vector moving average processes
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

This page was built for publication: Estimation of the Polynomial Matrices of Vector Moving Average Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3350578)