FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

DOI10.1111/j.1467-9892.1989.tb00032.xzbMath0686.62071OpenAlexW2050741121MaRDI QIDQ4204975

Tarmo M. Pukkila, Sergio G. Koreisha

Publication date: 1989

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1989.tb00032.x

zbMATH Keywords

maximum likelihood estimationlinear methodsmultiple time seriesvector autoregressive moving-averagesum of squares functiondouble regressionidentification of nonzero elementsVARMA polynomial structures

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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• Parsimony and Its Importance in Time Series Forecasting
• Recursive estimation of mixed autoregressive-moving average order
• Vector linear time series models