Exact maximum likelihood estimation of structured or unit root multivariate time series models
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Publication:959386
DOI10.1016/j.csda.2005.06.009zbMath1445.62235OpenAlexW2165002908WikidataQ114671407 ScholiaQ114671407MaRDI QIDQ959386
Guy Mélard, Roch Roy, Abdessamad Saidi
Publication date: 11 December 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/13754/2/paper_CSDA042505.pdf
Kalman filterARMA echelon formChandrasekhar-type recursionscointegrated modelGaussian likelihood estimationscalar component model
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (5)
The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ From general state-space to VARMAX models ⋮ Exact maximum likelihood estimation of partially nonstationary vector ARMA models ⋮ Business cycle analysis and VARMA models ⋮ Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations
Uses Software
Cites Work
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