Validity of Edgeworth Expansions of Minimum Constrast Estimators for Gaussian ARMA Processes.

1985 ◽  
Author(s):  
Masanobu Taniguchi
Keyword(s):  
Edgeworth Expansions ◽  
Arma Processes

Optimal importance sampling for some quadratic forms of ARMA processes

1995 ◽  
Vol 41 (6) ◽  
pp. 1834-1844 ◽  
Author(s):  
P. Barone ◽  
A. Gigli ◽  
M. Piccioni
Keyword(s):  
Importance Sampling ◽  
Quadratic Forms ◽  
Arma Processes

Some ARMA models for dependent sequences of poisson counts

1988 ◽  
Vol 20 (4) ◽  
pp. 822-835 ◽  
Author(s):  
Ed Mckenzie
Keyword(s):  
Asymptotic Behaviour ◽  
Discrete Time ◽  
Joint Distribution ◽  
Autoregressive Process ◽  
Two Dimensional ◽  
Arma Models ◽  
Time Reversibility ◽  
Vector Autoregressive ◽  
Arma Processes ◽  
Vector Autoregressive Process

A family of models for discrete-time processes with Poisson marginal distributions is developed and investigated. They have the same correlation structure as the linear ARMA processes. The joint distribution of n consecutive observations in such a process is derived and its properties discussed. In particular, time-reversibility and asymptotic behaviour are considered in detail. A vector autoregressive process is constructed and the behaviour of its components, which are Poisson ARMA processes, is considered. In particular, the two-dimensional case is discussed in detail.

Multivariate stable ARMA processes with time dependent coefficients

Metrika ◽  
2001 ◽  
Vol 54 (2) ◽  
pp. 131-138 ◽  
Author(s):  
M. Shelton Peiris ◽  
A. Thavaneswaran
Keyword(s):  
Time Dependent ◽  
Arma Processes
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