A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
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Cites work
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- Business cycle analysis without much theory: A look at structural VARs
- Elements of multivariate time series analysis
- ESTIMATING LINEAR DYNAMICAL SYSTEMS USING SUBSPACE METHODS
- Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
- FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
- GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 3996943 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- Identification of echelon canonical forms for vector linear processes using least squares
- Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
- Linear aggregation of vector autoregressive moving average processes
- Linear transformations of vector ARMA processes
- Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
- Multivariate linear time series models
- Recursive estimation of mixed autoregressive-moving average order
- The behaviour of the likelihood function for ARMA models
- The exact likelihood function of multivariate autoregressive-moving average models
- The Fitting of Time-Series Models
- VAR analysis, nonfundamental representations, Blaschke matrices
Cited in
(15)- Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting
- Vector moving average models
- FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
- ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
- A simple nearly unbiased estimator of cross-covariances
- On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- Bayesian modeling and forecasting of vector autoregressive moving average processes
- An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
- Correcting the bias of the sample cross‐covariance estimator
- Mean-preserving rounding integer-valued ARMA models
- Vector moving average models: a review
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