A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes

10.1093/biomet/81.3.555 ◽

1994 ◽

Vol 81 (3) ◽

pp. 555-565 ◽

Author(s):

ALBERTO LUCENO

Keyword(s):

Fast Algorithm ◽

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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Vector Autoregressive Moving Average Processes

New Introduction to Multiple Time Series Analysis ◽

10.1007/3-540-27752-8_11 ◽

2005 ◽

pp. 419-446 ◽

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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Vector Autoregressive Moving Average Processes

Introduction to Multiple Time Series Analysis ◽

10.1007/978-3-642-61695-2_6 ◽

1993 ◽

pp. 217-240

Author(s):

Helmut Lütkepohl

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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Vector Autoregressive Moving Average Processes

Introduction to Multiple Time Series Analysis ◽

10.1007/978-3-662-02691-5_6 ◽

1991 ◽

pp. 217-240

Author(s):

Helmut Lütkepohl

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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Stationary Time Series Models: Vector Autoregressive Moving-Average Processes (VARMA Processes)

Springer Texts in Business and Economics - Time Series Econometrics ◽

10.1007/978-3-319-32862-1_12 ◽

2016 ◽

pp. 215-224

Author(s):

Klaus Neusser

Keyword(s):

Time Series ◽

Moving Average ◽

Stationary Time Series ◽

Autoregressive Moving Average ◽

Time Series Models ◽

Vector Autoregressive ◽

Stationary Time ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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Linear aggregation of vector autoregressive moving average processes

Economics Letters ◽

10.1016/0165-1765(84)90009-0 ◽

1984 ◽

Vol 14 (4) ◽

pp. 345-350 ◽

Author(s):

Helmut Lütkepohl

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Linear Aggregation ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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Bayesian modeling and forecasting of vector autoregressive moving average processes

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1980047 ◽

2021 ◽

pp. 1-21

Author(s):

Samir M. Shaarawy

Keyword(s):

Bayesian Modeling ◽

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Modeling And Forecasting ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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Vector Autoregressive Moving Average Processes

New Introduction to Multiple Time Series Analysis ◽

10.1007/978-3-540-27752-1_11 ◽

2005 ◽

pp. 419-446

Author(s):

Helmut Lütkepohl

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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On the cumulated multi-step-ahead predictions of vector autoregressive moving average processes

International Journal of Forecasting ◽

10.1016/0169-2070(92)90034-7 ◽

1992 ◽

Vol 7 (4) ◽

pp. 501-513 ◽

Author(s):

Jan G. de Gooijer ◽

André Klein

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average

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Exact likelihood for stationary vector autoregressive moving average processes

Signal Processing ◽

10.1016/0165-1684(86)90030-7 ◽

1986 ◽

Vol 11 (2) ◽

pp. 105-118 ◽

Author(s):

Jean-Pierre Dugré ◽

Louis L Scharf ◽

Claude Gueguen

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Moving Average Processes ◽

Vector Autoregressive Moving Average ◽

Stationary Vector

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Vector Autoregressive Moving Average (VARMA) Models

Essentials of Time Series for Financial Applications ◽

10.1016/b978-0-12-813409-2.00003-0 ◽

2018 ◽

pp. 77-112 ◽

Author(s):

Massimo Guidolin ◽

Manuela Pedio

Keyword(s):

Moving Average ◽

Autoregressive Moving Average ◽

Vector Autoregressive ◽

Vector Autoregressive Moving Average

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