Calculating the autocovariances and the likelihood for periodic V ARMA models

DOI10.1080/00949650701692291MaRDI QIDQ3636723zbMATH OpenOpenAlexFDO

Authors Abdelhakim Aknouche, Fayçal Hamdi

Publication date 29 June 2009

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650701692291

zbMATH Keywords

Kalman filterlikelihood evaluationperiodic autocovariancesdiscrete-time periodic Lyapunov equationperiodic Chandrasekhar-type recursions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 671814 (Why is no real title available?)
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• An algorithm for the exact likelihood of periodic autoregressive moving average models
• Calculation of the Fisher Information Matrix for Periodic ARMA Models
• Causality conditions and autocovariance calculations in PVAR models
• Computation and Characterization of Autocorrelations and Partial Autocorrelations in Periodic ARMA Models
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• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• On periodic and multiple autoregressions
• PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
• Parameter Estimation for Periodically Stationary Time Series
• Periodic Lyapunov equations: Some applications and new algorithms
• RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
• Recursive prediction and likelihood evaluation for periodic ARMA models
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• The difference periodic Ricati equation for the periodic prediction problem
• The exact quasi-likelihood of time-dependent ARMA models
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Cited in

(8)

• A Note on Calculating Autocovariances of PeriodicARMAModels
• Chandrasekhar-type recursions for periodic linear systems
• Causality conditions and autocovariance calculations in PVAR models
• On periodic autoregressive stochastic volatility models: structure and estimation
• An algorithm for the exact likelihood of periodic autoregressive moving average models
• Computing the exact Fisher information matrix of periodic state-space models
• Recursive prediction and likelihood evaluation for periodic ARMA models
• Bootstrapping periodic state-space models

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