The exact quasi-likelihood of time-dependent ARMA models
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Cites work
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- Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
- An Algorithm for Least-Squares Estimation of Nonlinear Parameters
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- Covariance matrix computation of the state variable of a stationary Gaussian process
- Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
- Fast likelihood evaluation and prediction for nonstationary state space models
- Finite sample properties of estimators for autoregressive moving average models
- Fitting time series models to nonstationary processes
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3875113 (Why is no real title available?)
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- scientific article; zbMATH DE number 3196591 (Why is no real title available?)
- Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
- Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
- Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
- On an autoregressive model with time-dependent coefficients
- Some efficient computational procedures for high order ARMA models
- Some new algorithms for recursive estimation in constant, linear, discrete-time systems
- Stochastic processes and filtering theory
- TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
- The likelihood function of stationary autoregressive-moving average models
Cited in
(10)- The exact Gaussian likelihood estimation of time-dependent VARMA models
- Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
- Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
- Estimation of weak ARMA models with regime changes
- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- An approximate likelihood function for panel data with a mixed ARMA(p, q) remainder disturbance model
- Calculating the autocovariances and the likelihood for periodic V ARMA models
- scientific article; zbMATH DE number 1069587 (Why is no real title available?)
- scientific article; zbMATH DE number 2148022 (Why is no real title available?)
- Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
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