Exact maximum likelihood estimation for non-stationary periodic time series models

DOI10.1016/j.csda.2010.04.010zbMath1284.91588OpenAlexW2123638749MaRDI QIDQ2445716

Marius Ooms, Irma Hindrayanto, Siem Jan Koopman

Publication date: 14 April 2014

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.04.010

zbMATH Keywords

time-varying parametersstate space methodsunobserved component modelsSARIMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items

Removing seasonality under a changing regime: filtering new car sales ⋮ Long memory with stochastic variance model: a recursive analysis for US inflation ⋮ The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling ⋮ A periodic Levinson-Durbin algorithm for entropy maximization

Uses Software

• Ox
• SsfPack
• astsa

Cites Work

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