A note on reparameterizing a vector autoregressive moving average model to enforce stationarity

DOI10.1080/00949658608810893zbMATH Open0604.62088OpenAlexW2004839075MaRDI QIDQ3740862FDOQ3740862

Robert Kohn, Craig F. Ansley

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1080/00949658608810893

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zbMATH Keywords

stationarityCholesky factorizationfast computationparameterizationautocovariancesvector autoregressive moving average modelvector ARMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• On the parametrization of autoregressive models by partial autocorrelations
• The effect of transformations of variables upon their correlation coefficients
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• Covariance characterization by partial autocorrelation matrices
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• A note on obtaining the theoretical autocovariances of an ARMA process
• Some efficient computational procedures for high order ARMA models

Cited In (3)

• The variance ratio and trend stationary model as extensions of a constrained autoregressive model
• Detecting granular time series in large panels
• Collective Anomaly Detection in High-Dimensional Var Models

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