scientific article; zbMATH DE number 1069587
Several extensions of ARIMA models have been considered in recent years, including: (a) the use of time-dependent coefficients in the autoregressive and moving average polynomials; (b) various types of interventions, including the usual \textit{G. E. P. Box} and \textit{G. C. Tiao} [J. Am. Stat. Assoc. 70, 70-79 (1975; Zbl 0363.62069)] formulation and the innovational interventions but also interventions acting on the scale; (c) additive (level) or multiplicative (scale) trend; (d) built-in deterministic seasonal components on the variable or on the innovation; (e) variable transformations. The purpose of that model is to encompass several deterministic variations with respect to time in the framework of the usual stochastic ARIMA models. Other extensions not explicitly considered in this paper are ARMA models with GARCH errors, bilinear models, and fractional differencing ARIMA models. It should be noted, however, that some of these extensions can be handled using the same approach. For instance, threshold ARMA models can be seen as time-dependent ARMA models. Other approaches for time-dependent models include spectral density estimation, recursive estimation and models with random coefficients. Motivations for the extended ARIMA model which is used here have already been discussed elsewhere. The estimation procedure was however limited to the conditional least squares approach, generalizing the approach of \textit{G. E. P. Box} and \textit{G. M. Jenkins} [Time series analysis: Forecasting and control. (1976; Zbl 0363.62069)]. In this paper, an algorithm for the evaluation of the exact likelihood function is described, in the case where the innovation process is Gaussian. For the entire collection see [Zbl 0846.00010].
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