Mixed autoregressive-moving average multivariate processes with time- dependent coefficients

DOI10.1016/0047-259X(78)90034-9MaRDI QIDQ1252691zbMATH OpenOpenAlexFDO

Authors Marc Hallin

Publication date 1978

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259x(78)90034-9

zbMATH Keywords

Difference EquationsMixed Autoregressive Moving Average Multivariate ProcessesStochastic EquationsTime Series

Mathematics Subject Classification ID

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

Cites work

• A Note on Stochastic Difference Equations
• scientific article; zbMATH DE number 3587908 (Why is no real title available?)
• scientific article; zbMATH DE number 3260110 (Why is no real title available?)

Cited in

(29)

• On parameter estimation for locally stationary long-memory processes
• The exact quasi-likelihood of time-dependent ARMA models
• Fitting time series models to nonstationary processes
• A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
• Predictive, finite-sample model choice for time series under stationarity and non-stationarity
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• On the Kullback-Leibler information divergence of locally stationary processes
• Asymptotic analysis of synchrosqueezing transform -- toward statistical inference with nonlinear-type time-frequency analysis
• On a characterization of optimal predictors for nonstationary ARMA processes
• Threshold vector ARMA models
• ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
• AUTOREGRESSIVE PROCESSES WITH A TIME DEPENDENT VARIANCE
• Analysis of multivariate arma processes with non-stationary innovations
• SOME DOUBLY STOCHASTIC TIME SERIES MODELS
• On the prediction of multivariate arma processes with a time dependent covariance structure
• CONTRIBUTIONS TO EVOLUTIONARY SPECTRAL THEORY
• On prediction with time dependent arma models
• ON ADAPTIVE ESTIMATION FOR LOCALLY STATIONARY WAVELET PROCESSES AND ITS APPLICATIONS
• Nonstationary Yule-Walker equations
• Nonparametric factor analysis of residual time series
• A conversation with Marc Hallin
• General estimation results for \textsc{tdVARMA} array models
• Online sequential leveraging sampling method for streaming autoregressive time series with application to seismic data
• Time-dependent time series models: comments on Marc Hallin's early contributions and a pragmatic view on estimation
• Marc Hallin: a commented bibliography (from 1972 to 2023)
• Vector moving average models: a review
• A unified theory for ARMA models with varying coefficients: one solution fits all
• On recursive estimation for time varying autoregressive processes
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients

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