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

DOI10.1111/J.1467-9892.2003.00332.XMaRDI QIDQ4828166zbMATH OpenOpenAlexFDO

Authors 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

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)

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• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• Error bounds for asymptotic expansion of the conditional variance of the scale mixtures of the multivariate normal distribution
• Fast optimization of the exact likelihood of AR and ARMA processes
• Generalized autoregressive conditional heteroscedasticity
• On the conditional variance for scale mixtures of normal distributions
• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
• Time series models in non-normal situation: symmetric innovations
• Time series: theory and methods.

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
• Exploratory data analysis and model criticism with posterior plots
• A semiparametric approach for modeling partially linear autoregressive model with skew normal innovations
• Simulated maximum likelihood in autoregressive models with stochastic volatility errors
• EM-based algorithms for autoregressive models with \(t\)-distributed innovations
• On the properties of the likelihood function of Spanos' conditional \(t\) heteroskedastic model
• Student's \(t\) vector random fields with power-law and log-law decaying direct and cross covariances
• Nonlinear semiparametric AR(1) model with skew-symmetric innovations
• AR(1) model with skew-normal innovations
• Skew-Normal ARMA Models with Nonlinear Heteroscedastic Predictors
• PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS
• Multivariate transformed Gaussian processes
• Construction of non-Gaussian random fields with any given correlation structure
• Likelihood-Based Inference in Autoregressive Models with Scaledt-Distributed Innovations by Means of EM-Based Algorithms
• Student processes

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