Calculating the autocovariances and the likelihood for periodic V ARMA models
DOI10.1080/00949650701692291zbMATH Open1169.62072OpenAlexW2100808511MaRDI QIDQ3636723FDOQ3636723
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
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Cites Work
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- Periodic Lyapunov equations: Some applications and new algorithms
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- The difference periodic Ricati equation for the periodic prediction problem
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- Parameter Estimation for Periodically Stationary Time Series
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
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- PARAMETER ESTIMATION FOR PERIODIC ARMA MODELS
- ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
- Recursive prediction and likelihood evaluation for periodic ARMA models
- Causality conditions and autocovariance calculations in PVAR models
- RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- An algorithm for the exact likelihood of periodic autoregressive moving average models
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
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
- Computing the Exact Fisher Information Matrix of Periodic State-Space Models
- On periodic autoregressive stochastic volatility models: structure and estimation
- Bootstrapping Periodic State-Space Models
- An algorithm for the exact likelihood of periodic autoregressive moving average models
- Recursive prediction and likelihood evaluation for periodic ARMA models
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