Estimating multivariate autoregressive moving average models by fitting long autoregressions

DOI10.1080/03610928908829987MaRDI QIDQ3474141zbMATH OpenOpenAlexFDO

Authors Pentti Saikkonen, Ritva Luukkonen

Publication date 1989

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928908829987

zbMATH Keywords

asymptotic efficiencyasymptotic normalitylong autoregressionmixed multivariate autoregressive moving average time series modelsstrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• A Proposal for Estimation of the Parameters of Multivariate Moving-average Models
• scientific article; zbMATH DE number 3843029
• An efficient method for the estimation of multivariate moving averge models
• A method for autoregressive-moving average estimation
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

Cites work

• An efficient method for the estimation of multivariate moving averge models
• ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS
• Bias of some commonly-used time series estimates
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• ESTIMATION OF MULTIVARIATE TIME SERIES
• Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function
• Multivariate linear time series models
• REGRESSION, AUTOREGRESSION MODELS
• THE CONVERGENCE OF AUTOCORRELATIONS AND AUTOREGRESSIONS1
• The evaluation of certain quadratic forms occurring in autoregressive model fitting
• The exact likelihood for a multivariate ARMA model
• The exact likelihood function of multivariate autoregressive-moving average models
• The information matrices of the parameters of multiple mixed time series
• Vector linear time series models

Cited in

(13)

• A comparison of multivariate autoregressive estimators
• Finite sample properties of estimators for autoregressive moving average models
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS?
• An efficient method for the estimation of multivariate moving averge models
• USING SUBSPACE METHODS FOR ESTIMATING ARMA MODELS FOR MULTIVARIATE TIME SERIES WITH CONDITIONALLY HETEROSKEDASTIC INNOVATIONS
• A method for autoregressive-moving average estimation
• scientific article; zbMATH DE number 4058701 (Why is no real title available?)
• A Proposal for Estimation of the Parameters of Multivariate Moving-average Models
• scientific article; zbMATH DE number 703123 (Why is no real title available?)
• Multivariate autoregressive time semes modeling: one scalar autoregressive model at-A-time
• ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
• Estimation of impulse response functions using long autoregression
• Modeling and large sample estimation for multi-casting autoregression

This page was built for publication: Estimating multivariate autoregressive moving average models by fitting long autoregressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3474141)