Multivariate arma models with generalized autoregressive linear innovation

DOI10.1080/07362990008809666MaRDI QIDQ4949463zbMATH OpenOpenAlexFDO

Authors Jean-Michel Zakoïan, C. Francq

Publication date 21 April 2002

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362990008809666

zbMATH Keywords

time seriesidentifiabilitystrict stationarityinvertibilitylinear innovationssecond-order stationaritygeneralized autoregressive modelling

Mathematics Subject Classification ID

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

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Cites work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroscedasticity
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• Non-linear time series models for non-linear random vibrations
• ON THE EXISTENCE OF A GENERAL MULTIPLE BILINEAR TIME SERIES
• On the general bilinear time series model
• Random coefficient autoregressive models: an introduction
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Subadditive ergodic theory
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(8)

• Multivariate stable ARMA processes with time dependent coefficients
• Multivariate contemporaneous ARMA model with hydrological applications
• Spectral representation and autocovariance structure of Markov switching DSGE models
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• Estimating linear representations of nonlinear processes
• scientific article; zbMATH DE number 7353822 (Why is no real title available?)
• scientific article; zbMATH DE number 813721 (Why is no real title available?)
• On the Covariance Structure of Time Varying Bilinear Models

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