The exact quasi-likelihood of time-dependent ARMA models

DOI10.1016/S0378-3758(97)00134-1zbMATH Open0937.62087OpenAlexW1994831250MaRDI QIDQ1299531FDOQ1299531

Authors: Rajae Azrak, Guy Mélard 

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

Recommendations

• Faster ARMA maximum likelihood estimation
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• scientific article; zbMATH DE number 223551

zbMATH Keywords

Kalman filterquasi-likelihoodARMA models

Mathematics Subject Classification ID

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

Cites Work

• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• Generalized autoregressive conditional heteroscedasticity
• Title not available (Why is that?)
• Stochastic processes and filtering theory
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Fitting time series models to nonstationary processes
• Title not available (Why is that?)
• The likelihood function of stationary autoregressive-moving average models
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
• Finite sample properties of estimators for autoregressive moving average models
• Title not available (Why is that?)
• TESTING FOR THE RANDOMNESS OF AUTOREGRESSIVE COEFFICIENTS
• Fast likelihood evaluation and prediction for nonstationary state space models
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• Title not available (Why is that?)
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• Title not available (Why is that?)
• On an autoregressive model with time-dependent coefficients
• Title not available (Why is that?)
• Covariance matrix computation of the state variable of a stationary Gaussian process
• Some efficient computational procedures for high order ARMA models
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (9)

• Calculating the autocovariances and the likelihood for periodic V ARMA models
• Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients
• Estimation of weak ARMA models with regime changes
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• Title not available (Why is that?)
• Exact distribution and moments for the RLS estimate in a time-varying AR(1) process
• 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
• The exact Gaussian likelihood estimation of time-dependent VARMA models

Uses Software

• AS 154
• AS 197

This page was built for publication: The exact quasi-likelihood of time-dependent ARMA models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1299531)