The exact quasi-likelihood of time-dependent ARMA models
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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
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