ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION

DOI10.1081/ETC-120014349zbMath1034.62081MaRDI QIDQ4443972

Aman Ullah, John W. Galbraith, Victoria Zinde-Walsh

Publication date: 22 March 2004

Published in: Econometric Reviews (Search for Journal in Brave)

zbMATH Keywords

vector autoregressionvector moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Long-run wavelet-based correlation for financial time series ⋮ Complete Blind Subspace Deconvolution ⋮ GARCH Model Estimation Using Estimated Quadratic Variation

Cites Work

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• Prediction of multivariate time series by autoregressive model fitting
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• A simple noniterative estimator for moving average models
• On some simple, autoregression-based estimation and identification techniques for ARMA models

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