scientific article; zbMATH DE number 3791485

zbMATH Open0502.62076MaRDI QIDQ3968337FDOQ3968337

Authors: Guy Mélard 

Publication date: 1982

Title of this publication is not available (Why is that?)

zbMATH Keywords

algorithmtime-dependent ARMA modelevaluation of exact likelihood function of mixed autoregressive-moving average processtime-dependent innovation variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99) Economic time series analysis (91B84)

Cited In (3)

• Times series models with thresholds
• The exact quasi-likelihood of time-dependent ARMA models
• The exact Gaussian likelihood estimation of time-dependent VARMA models

Uses Software

• AS 154

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