A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables

DOI10.2307/2288194zbMATH Open0521.65100OpenAlexW4232594969MaRDI QIDQ3670515FDOQ3670515

Authors: Henrik Spliid 

Publication date: 1983

Full work available at URL: https://doi.org/10.2307/2288194

zbMATH Keywords

linear regressiondynamic systemsdistributed lag modelsfast estimationlarge multivariate time seriesvector ARMAX models

Mathematics Subject Classification ID

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

Cited In (17)

• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• Assessing uncertainty in the American Indian trust fund
• A generalized least squares estimation method for invertible vector moving average models
• ITERATIVE AND RECURSIVE ESTIMATION OF TRANSFER FUNCTIONS
• VARMAX-modelling of blast furnace process variables
• Model identification of ARIMA family using genetic algorithms
• Massively parallel processing of recursive multi-period portfolio models
• The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
• Estimation and simulation of autoregressive Hilbertian processes with exogenous variables
• ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
• Fast estimation methods for time-series models in state–space form
• Forecasting day-ahead electricity load using a multiple equation time series approach
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• A generalized least squares estimation method for VARMA models
• Forecasting of nonlinear dynamics based on symbolic invariance

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