scientific article; zbMATH DE number 3791485

MaRDI QIDQ3968337zbMATH OpenFDO

Authors Guy Mélard

Publication date 1982

zbMATH Keywords

algorithmevaluation of exact likelihood function of mixed autoregressive-moving average processtime-dependent ARMA modeltime-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

(4)

• The exact quasi-likelihood of time-dependent ARMA models
• The exact Gaussian likelihood estimation of time-dependent VARMA models
• Times series models with thresholds
• Time-dependent time series models: comments on Marc Hallin's early contributions and a pragmatic view on estimation

Describes a project that uses

Uses Software

• AS 154

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