A complete VARMA modelling methodology based on scalar components
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Publication:3552837
DOI10.1111/J.1467-9892.2007.00568.XzbMATH Open1198.62086OpenAlexW2025140783MaRDI QIDQ3552837FDOQ3552837
Authors: 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
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Forecasting and testing in co-integrated systems
- Recursive estimation of mixed autoregressive-moving average order
- Codependent cycles
- Testing multiple equation systems for common nonlinear components
- A Multivariate Time Series Analysis of Some Flour Price Data
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- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- Using VARMA technique to measure the performance quality of E-service-FIFA2014
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- A note on the initial identification of scalar component models
- Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
- A type of matrix Padé approximant inspired by scalar component models
- Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- On weak identification in structural VARMA models
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
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