Frequency Domain Calculation of Seasonal VARMA Autocovariances

DOI10.1080/10618600.2021.1981343MaRDI QIDQ5083379zbMATH OpenOpenAlexFDO

Authors Tucker S. McElroy

Publication date 22 June 2022

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10618600.2021.1981343

zbMATH Keywords

spectral densityvector time seriesadjoint polynomial

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Computation of vector ARMA autocovariances
• Constrained estimation of causal invertible VARMA
• Time series: theory and methods.

Cited in

(3)

• Calculating the autocovariances and the likelihood for periodic V ARMA models
• Periodogram regression: a two-stage mixed effects approach for modelling multiple integer-valued time series of tropical cyclone frequency
• Vector moving average models: a review

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