A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
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Publication:5080149
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Cites work
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- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- 4SID: Subspace algorithms for the identification of combined deterministic-stochastic systems
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- Elements of multivariate time series analysis
- 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
- Identification of echelon canonical forms for vector linear processes using least squares
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- Multivariate linear time series models
- Recursive estimation of mixed autoregressive-moving average order
- The Fitting of Time-Series Models
- The behaviour of the likelihood function for ARMA models
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Cited in
(13)- ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
- A simple nearly unbiased estimator of cross-covariances
- Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
- An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
- 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
- Bayesian modeling and forecasting of vector autoregressive moving average processes
- On the estimation problem of periodic autoregressive time series: symmetric and asymmetric innovations
- Correcting the bias of the sample cross‐covariance estimator
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
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