Computing and estimating information matrices of weak ARMA models
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Publication:425392
DOI10.1016/J.CSDA.2011.07.006zbMATH Open1239.62107OpenAlexW2028897467MaRDI QIDQ425392FDOQ425392
Authors: C. Francq, Y. Boubacar Mainassara, M. Carbon 
Publication date: 8 June 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2011.07.006
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Special matrices (15B99)
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Cited In (16)
- Portmanteau tests for periodic ARMA models with dependent errors
- Estimation of weak ARMA models with regime changes
- Temporal aggregation and systematic sampling for INGARCH processes
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
- On mixture autoregressive conditional heteroskedasticity
- Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
- Estimating weak periodic vector autoregressive time series
- Goodness-of-fit tests for SPARMA models with dependent error terms
- On the Fisher information matrix of a vector ARMA process
- Title not available (Why is that?)
- Computation of the exact information matrix of Gaussian dynamic regression time series models
- SCOMDY models based on pair-copula constructions with application to exchange rates
- Calculation of the Fisher Information Matrix for Periodic ARMA Models
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
- The information matrix test in the linear regression with ARMA errors
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