The exact quasi-likelihood of time-dependent ARMA models
From MaRDI portal
Publication:1299531
DOI10.1016/S0378-3758(97)00134-1zbMath0937.62087OpenAlexW1994831250MaRDI QIDQ1299531
Publication date: 14 June 2000
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00134-1
Related Items (6)
Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients ⋮ The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes ⋮ Estimation of weak ARMA models with regime changes ⋮ Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach ⋮ Calculating the autocovariances and the likelihood for periodic V ARMA models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Finite sample properties of estimators for autoregressive moving average models
- Covariance matrix computation of the state variable of a stationary Gaussian process
- Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
- Fitting time series models to nonstationary processes
- On an autoregressive model with time-dependent coefficients
- Generalized autoregressive conditional heteroscedasticity
- Stochastic processes and filtering theory
- Some efficient computational procedures for high order ARMA models
- Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
- Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
- An Algorithm for Least-Squares Estimation of Nonlinear Parameters
- Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
- 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
- The likelihood function of stationary autoregressive-moving average models
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- Fast likelihood evaluation and prediction for nonstationary state space models
- TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
- Some new algorithms for recursive estimation in constant, linear, discrete-time systems
This page was built for publication: The exact quasi-likelihood of time-dependent ARMA models
