scientific article; zbMATH DE number 4147357

MaRDI QIDQ3477847zbMATH OpenFDO

Authors Stefan Mittnik

Publication date 1990

zbMATH Keywords

algorithmsautoregressive moving average processesclosed form expressionscomputing autocovariance sequences of multivariate ARMA processesexact maximum likelihood estimationMatrix expressionsmultivariate time seriestheoretical autocovariances

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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(24)

• The exact likelihood function of a vector autoregressive moving average process
• Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
• Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
• The covariance matrix of ARMA errors in closed form
• New approximation for ARMA parameters estimate
• An evaluation of algorithms for computing the covariance function of a multivariable arma process
• An efficient and versatile algorithm for computing the covariance function of an ARMA process
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• Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes
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• On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
• Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices
• Computation of vector ARMA autocovariances
• Multistep ahead forecasting of vector time series
• Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
• Vector moving average models: a review
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
• On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors
• Covariances between estimated autocorrelations of an ARMA process
• Generation Of Time Series Models With Given Spectral Properties
• Exact maximum likelihood estimation of structured or unit root multivariate time series models

Describes a project that uses

Uses Software

• AS 154

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