Vector moving average models: a review
From MaRDI portal
Cites work
- scientific article; zbMATH DE number 4135256 (Why is no real title available?)
- scientific article; zbMATH DE number 4147357 (Why is no real title available?)
- scientific article; zbMATH DE number 3744363 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 3565994 (Why is no real title available?)
- scientific article; zbMATH DE number 472948 (Why is no real title available?)
- scientific article; zbMATH DE number 3996943 (Why is no real title available?)
- scientific article; zbMATH DE number 3797061 (Why is no real title available?)
- scientific article; zbMATH DE number 775736 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- scientific article; zbMATH DE number 3283198 (Why is no real title available?)
- scientific article; zbMATH DE number 3410457 (Why is no real title available?)
- A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
- A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
- A Powerful Portmanteau Test of Lack of Fit for Time Series
- A Unified Approach to Identifying Multivariate Time Series Models
- A canonical analysis of multiple time series
- A comparison of estimation methods for vector linear time series models
- A complete VARMA modelling methodology based on scalar components
- A generalized least squares estimation method for VARMA models
- A goodness-of-fit test for VARMA\((p, q)\) models
- A new diagnostic tool for VARMA\((p,q)\) models
- A note on an iterative least-squares estimation method for ARMA and VARMA models
- A note on obtaining the theoretical autocovariances of an ARMA process
- A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process
- Affine-invariant aligned rank tests for the multivariate general linear model with VARMA errors
- An algorithm for the exact Fisher information matrix of vector ARMAX time series
- An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
- An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes
- An explicit expression for the Fisher information matrix of a multiple time series process
- An extended portmanteau test for VARMA models with mixing nonlinear constraints
- An introduction to analysis of financial data with R.
- Analysis of cointegrated VARMA processes
- Analytic derivatives for estimation of linear dynamic models
- Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
- Asymptotic Fisher information matrix of Markov switching VARMA models
- Asymptotic Properties of QML Estimators for VARMA Models with Time‐dependent Coefficients
- Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
- Asymptotic theory for a vector ARMA-GARCH model
- Autocovariance structure of Markov regime switching models and model selection
- Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
- Bayesian modeling and forecasting of vector autoregressive moving average processes
- Business cycle analysis without much theory: A look at structural VARs
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
- Computation of the theoretical autocovariance function for a vector arma process
- Computation of vector ARMA autocovariances
- Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models
- Constrained estimation of causal invertible VARMA
- Covariance changes detection in multivariate time series
- Determining the number of regimes in Markov switching VAR and VMA models
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- Diagnostic tests for multiple time series models
- Dynamic identification of dynamic stochastic general equilibrium models
- ESTIMATION OF MULTIVARIATE TIME SERIES
- Elements of multivariate time series analysis
- Empirically feasible solutions and explicit dynamics for rational expectation models
- Estimating structural VARMA models with uncorrelated but non-independent error terms
- Estimating the Kronecker indices of cointegrated echelon‐form VARMA models
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- Estimation and forecasting in vector autoregressive moving average models for rich datasets
- Estimation of vector Armax models
- Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
- Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
- Exact maximum likelihood estimation of structured or unit root multivariate time series models
- FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
- FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
- Factor-Augmented VARMA Models With Macroeconomic Applications
- Forecasting Time Series With VARMA Recursions on Graphs
- Frequency Domain Calculation of Seasonal VARMA Autocovariances
- GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
- General estimation results for \textsc{tdVARMA} array models
- Higher order moments of Markov switching VARMA models
- IDENTIFYING MULTIVARIATE TIME SERIES MODELS
- Identifiability and estimation of possibly non-invertible SVARMA models: the normalised canonical WHF parametrisation
- Identification and Estimation in Non-Fundamental Structural VARMA Models
- Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics
- Identification of echelon canonical forms for vector linear processes using least squares
- Identification of refined ARMA echelon form models for multivariate time series
- Identifying a Simplifying Structure in Time Series
- Improved multivariate portmanteau test
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
- Large Bayesian VARMAs
- Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
- Linear bootstrap methods for vector autoregressive moving-average models
- MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
- Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes
- Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
- Maximum likelihood identification of Gaussian autoregressive moving average models
- Measuring the Advantages of Multivariate vs. Univariate Forecasts
- Mixed autoregressive-moving average multivariate processes with time- dependent coefficients
- Model specification and selection for multivariate time series
- Modeling Multiple Times Series with Applications
- Monitoring mean changes in persistent multivariate time series
- Multiple Time Series Analysis and the Final Form of Econometric Models
- Multivariate Markov-switching ARMA processes with regularly varying noise
- Multivariate linear time series models
- Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
- Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
- Multivariate stable ARMA processes with time dependent coefficients
- Multivariate time series prediction using a hybridization of VARMA models and Bayesian networks
- NECESSARY AND SUFFICIENT CONDITIONS FOR CAUSALITY TESTING IN MULTIVARIATE ARMA MODELS
- Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
- ON THE IDENTIFICATION AND ESTIMATION OF NONSTATIONARY AND COINTEGRATED ARMAX SYSTEMS
- ON THE RELATIONSHIP BETWEEN GENERALIZED LEAST SQUARES AND GAUSSIAN ESTIMATION OF VECTOR ARMA MODELS
- On Markov-switching ARMA processes-stationarity, existence of moments, and geometric ergodicity
- On the Fisher information matrix of a vector ARMA process
- On the Treatment of Autocorrelated Errors in the Multiperiod Prediction of Dynamic Simultaneous Equation Models
- On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
- On the identification of ARMA echelon-form models
- On the numerical evaluation of the theoretical variance‐covariance matrix of least squares estimators for echelon‐form varma models
- On the sufficient statistics for multivariate ARMA models: approximate approach
- Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
- Predictions of multivariate autoregressive-moving average models
- Rank-based optimal tests of the adequacy of an elliptic VARMA model
- SOME ASPECTS OF MODELLING AND FORECASTING MULTIVARIATE TIME SERIES
- Selection of weak VARMA models by modified Akaike's information criteria
- Short Run and Long Run Causality in Time Series: Theory
- Short and long run causality measures: theory and inference
- Simplified conditions for noncausality between vectors in multivariate ARMA models
- Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
- Spectral density of Markov-switching VARMA models
- Stationarity of multivariate Markov-switching ARMA models
- Statistical inference for heavy-tailed and partially nonstationary vector ARMA models
- Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
- Studying co-movements in large multivariate data prior to multivariate modelling
- Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
- Testing and estimating change-points in the covariance matrix of a high-dimensional time series
- Testing causality using efficiently parametrized vector ARMA models
- Testing the Fit of a Vector Autoregressive Moving Average Model
- Tests for noncorrelation of two multivariate ARMA time series
- The Exact Likelihood Function of a Vector Autoregressive Moving Average Model
- The Identification Problem for Multiple Equation Systems with Moving Average Errors
- The Multivariate Portmanteau Statistic
- The asymptotic and exact Fisher information matrices of a vector ARMA process
- The efficient estimation of vector linear time series models
- The evaluation of exact maximum likelihood estimates for varma models
- The exact Gaussian likelihood estimation of time-dependent VARMA models
- The exact likelihood for a multivariate ARMA model
- The exact likelihood function of a vector autoregressive moving average process
- The exact likelihood function of multivariate autoregressive-moving average models
- The specification of vector autoregressive moving average models
- The spectral representation of Markov switching ARMA models
- The strong consistency of maximum likelihood estimators for ARMA processes
- Threshold vector ARMA models
- Time series analysis and simultaneous equation econometric models
- Time series: theory and methods.
- Time-dependent time series models: comments on Marc Hallin's early contributions and a pragmatic view on estimation
- Two canonical VARMA forms: scalar component models vis-à-vis the echelon form
- Uncertain vector autoregressive smoothly moving average model
- Use of canonical analysis in time series model identification
- VELOCITY AND THE VARIABILITY OF MONEY GROWTH: EVIDENCE FROM A VARMA, GARCH-M MODEL
- Vector autoregressive moving average identification for macroeconomic modeling: a new methodology
- Vector linear time series models
- Vector linear time series models: corrections and extensions
- Weak VARMA representations of regime-switching state-space models
- Weighted-covariance factor decomposition of VARMA models applied to forecasting quarterly U.S. real GDP at monthly intervals
- Whittle parameter estimation for vector ARMA models with heavy-tailed noises
Cited in
(3)
This page was built for publication: Vector moving average models: a review
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6997456)
