Some efficient computational procedures for high order ARMA models

DOI10.1080/00949657908810273MaRDI QIDQ3049715zbMATH OpenOpenAlexFDO

Authors G. Tunnicliffe Wilson

Publication date 1978

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949657908810273

zbMATH Keywords

Laurent seriescomputational proceduresautoregressive moving average processCramer- Wold factorization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Power series (including lacunary series) in one complex variable (30B10)

Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Algorithms for Classical Stability Problems
• An Algorithm for the Inversion of Finite Toeplitz Matrices
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• The Fitting of Time-Series Models
• The recursive nature of the stationarity and invertibility restraints on the parameters of mixed autoregressive-moving average processes
• Weighting Coefficients for the Prediction of Stationary Time Series from the Finite Past

Cited in

(22)

• ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES
• Estimation error and the specification of unobserved component models
• Spectral decomposition of the AR metric
• The autoregressive metric for comparing time series models
• Bartlett's formulae -- closed forms and recurrent equations
• ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
• An algorithm for computing the asymptotic fisher information matrix for seasonal SISO models
• MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
• The exact quasi-likelihood of time-dependent ARMA models
• A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models
• A note on reparameterizing a vector autoregressive moving average model to enforce stationarity
• A note on the derivation of theoretical autocovariances for ARMA models
• The covariance matrix of ARMA errors in closed form
• Two new approaches to robust estimation in time series
• Fast optimization of the exact likelihood of AR and ARMA processes
• On the numerical implementation of the generalized least squares procedure for arma estimation
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• The ARMA alphabet soup: a tour of ARMA model variants
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• On confidence intervals and tests for autocorrelations
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

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