A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models

Econometric Reviews ◽

10.1080/07474938.2011.607343 ◽

2012 ◽

Vol 31 (3) ◽

pp. 297-324 ◽

Author(s):

Christian Kascha

Keyword(s):

Moving Average ◽

Estimation Methods ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.1989.tb00032.x ◽

1989 ◽

Vol 10 (4) ◽

pp. 325-339 ◽

Author(s):

Sergio Koreisha ◽

Tarmo Pukkila

Keyword(s):

Moving Average ◽

Estimation Methods ◽

Autoregressive Moving Average ◽

Linear Estimation ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

Maximum Likelihood Estimation for Vector Autoregressive Moving Average Models

10.21236/ada060867 ◽

1978 ◽

Author(s):

Theodore W. Anderson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

Vector autoregressive moving average models

Handbook of Statistics - Conceptual Econometrics Using R ◽

10.1016/bs.host.2019.01.004 ◽

2019 ◽

pp. 145-191 ◽

Author(s):

Wolfgang Scherrer ◽

Manfred Deistler

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

Robust Estimation in Vector Autoregressive Moving-Average Models

Journal of Time Series Analysis ◽

10.1111/1467-9892.00144 ◽

1999 ◽

Vol 20 (4) ◽

pp. 381-399 ◽

Author(s):

Marta Garcia Ben ◽

Elena J. Martinez ◽

Victor J. Yohai

Keyword(s):

Robust Estimation ◽

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

The Effect of Misspecification in Vector Autoregressive Moving Average Models on Parameter Estimation and Forecasting

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918908812771 ◽

1989 ◽

Vol 18 (2) ◽

pp. 467-479

Author(s):

Ken Hung ◽

Frank B. Alt

Keyword(s):

Parameter Estimation ◽

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets'

SSRN Electronic Journal ◽

10.2139/ssrn.2830838 ◽

2017 ◽

Author(s):

Gustavo Fruet Dias ◽

George Kapetanios

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

Parsimonious Parameterization of Vector Autoregressive Moving Average Models

Journal of Business and Economic Statistics ◽

10.2307/1391530 ◽

1989 ◽

Vol 7 (3) ◽

pp. 327 ◽

Author(s):

Ruey S. Tsay

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

SSRN Electronic Journal ◽

10.2139/ssrn.2707176 ◽

2017 ◽

Author(s):

Gustavo Fruet Dias ◽

George Kapetanios

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

Bootstrapping periodogram and cross periodogram statistics of vector autoregressive moving average models

Statistics & Probability Letters ◽

10.1016/0167-7152(95)00047-x ◽

1996 ◽

Vol 27 (4) ◽

pp. 385-391

Author(s):

Efstathios Paparoditis

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text

Parsimonious Parameterization of Vector Autoregressive Moving Average Models

Journal of Business and Economic Statistics ◽

10.1080/07350015.1989.10509742 ◽

1989 ◽

Vol 7 (3) ◽

pp. 327-341 ◽

Author(s):

Ruey S. Tsay

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Models ◽

Vector Autoregressive Moving Average ◽

Autoregressive Moving Average Models

Download Full-text