Multivariate arma models with generalized autoregressive linear innovation

DOI10.1080/07362990008809666zbMATH Open0983.62058OpenAlexW2074646530MaRDI QIDQ4949463FDOQ4949463

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

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zbMATH Keywords

time seriesidentifiabilitystrict stationarityinvertibilitylinear innovationssecond-order stationaritygeneralized autoregressive modelling

Mathematics Subject Classification ID

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

Cites Work

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

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
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the Covariance Structure of Time Varying Bilinear Models

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