A complete VARMA modelling methodology based on scalar components
From MaRDI portal
Publication:3552837
DOI10.1111/j.1467-9892.2007.00568.xzbMath1198.62086MaRDI QIDQ3552837
George Athanasopoulos, Farshid Vahid
Publication date: 22 April 2010
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00568.x
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Two Canonical VARMA Forms: Scalar Component Models Vis-à-Vis the Echelon Form, USING VARMA TECHNIQUE TO MEASURE THE PERFORMANCE QUALITY OF E-SERVICE-FIFA2014, Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages, Vector autoregressive moving average identification for macroeconomic modeling: a new methodology, A type of matrix Padé approximant inspired by scalar component models, A note on the initial identification of scalar component models, On weak identification in structural VARMA models, Estimation and forecasting in vector autoregressive moving average models for rich datasets
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Forecasting and testing in co-integrated systems
- Codependent cycles
- Testing multiple equation systems for common nonlinear components
- Recursive estimation of mixed autoregressive-moving average order
- A Multivariate Time Series Analysis of Some Flour Price Data