A generalized least squares estimation method for VARMA models

DOI10.1080/02331880213193zbMATH Open1003.62072OpenAlexW2002261868MaRDI QIDQ3153643FDOQ3153643

Rafael Flores de Frutos, Gregorio R. Serrano

Publication date: 2 February 2003

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880213193

zbMATH Keywords

model specificationgeneralized least squaresVARMA models estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

• Recursive estimation of mixed autoregressive-moving average order
• A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• A method for autoregressive-moving average estimation

Cited In (7)

• Title not available (Why is that?)
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• A note on an iterative least-squares estimation method for ARMA and VARMA models
• Fast estimation methods for time-series models in state–space form
• Comparing VaR Approximation Methods that Use the First Four Moments as Inputs
• A simple nearly unbiased estimator of cross‐covariances
• GENERALISED LEAST SQUARES (GLS) ESTIMATION OF THE DIFFERENCE PARAMETER IN LONG MEMORY (ARFIMA) PROCESSES

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