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

DOI10.1080/00949658608810893MaRDI QIDQ3740862zbMATH OpenOpenAlexFDO

Authors Craig F. Ansley, Robert Kohn

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

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)

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Cites work

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

Cited in

(4)

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

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