Vector autoregressive moving average models

DOI10.1016/BS.HOST.2019.01.004MaRDI QIDQ5116812zbMATH OpenOpenAlexFDO

Authors Wolfgang Scherrer, Manfred Deistler

Publication date 18 August 2020

Published in Handbook of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/bs.host.2019.01.004

zbMATH Keywords

model selectionparameter estimationstate space modelidentifiabilityvector autoregressive moving average process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20)

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Cited in

(18)

• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Single‐Index Additive Vector Autoregressive Time Series Models
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
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• Binomial autoregressive moving average models
• Forecasting cointegrated VARMA processes
• Modeling Compositional Time Series with Vector Autoregressive Models
• Estimation and forecasting in vector autoregressive moving average models for rich datasets
• The specification of vector autoregressive moving average models
• VARMA-modeling
• Linear bootstrap methods for vector autoregressive moving-average models
• Constrained estimation of causal invertible VARMA
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• A note on reparameterizing a vector autoregressive moving average model to enforce stationarity
• Vector moving average models
• scientific article; zbMATH DE number 721872 (Why is no real title available?)
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• ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density

Describes a project that uses

Uses Software

• R

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