Estimating multivariate autoregressive moving average models by fitting long autoregressions

DOI10.1080/03610928908829987zbMath0696.62350OpenAlexW2089472867MaRDI QIDQ3474141

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 normalityasymptotic efficiencystrong consistencylong autoregressionmixed multivariate autoregressive moving average time series models

Mathematics Subject Classification ID

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

Cites Work

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