Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations

DOI10.1111/J.1467-9892.2003.00332.XzbMATH Open1051.62088OpenAlexW2033280533MaRDI QIDQ4828166FDOQ4828166

B. Tarami, M. Pourahmadi

Publication date: 24 November 2004

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2003.00332.x

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zbMATH Keywords

covariance functioncausalityGaussian distributionstationary processinnovation distributiongeneralized autoregressive conditionally heteroscedastic models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series: theory and methods.
• Generalized autoregressive conditional heteroscedasticity
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• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
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• On the conditional variance for scale mixtures of normal distributions
• Time series models in non-normal situation: symmetric innovations
• Fast optimization of the exact likelihood of AR and ARMA processes
• Error bounds for asymptotic expansion of the conditional variance of the scale mixtures of the multivariate normal distribution

Cited In (16)

• Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
• Exact Likelihood Equations for Autoregression Models with Multivariate Elliptically Contoured Distributions
• Simulated maximum likelihood in autoregressive models with stochastic volatility errors
• Exploratory data analysis and model criticism with posterior plots
• A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations
• On the Properties of the Likelihood Function of Spanos' Conditional t Heteroskedastic Model
• Nonlinear semiparametric AR(1) model with skew-symmetric innovations
• EM-based algorithms for autoregressive models with t-distributed innovations
• Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors
• AR(1) model with skew-normal innovations
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• Multivariate transformed Gaussian processes
• Likelihood-Based Inference in Autoregressive Models with Scaledt-Distributed Innovations by Means of EM-Based Algorithms
• Construction of non-Gaussian random fields with any given correlation structure
• Student processes
• Student'stVector Random Fields with Power-Law and Log-Law Decaying Direct and Cross Covariances

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