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Computing and using residuals in time series models

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  • Mauricio, Jose Alberto

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  • Mauricio, Jose Alberto, 2008. "Computing and using residuals in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1746-1763, January.
    • Handle: RePEc:eee:csdana:v:52:y:2008:i:3:p:1746-1763
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    References listed on IDEAS

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    1. B. L. Shea, 1989. "The Exact Likelihood of a Vector Autoregressive Moving Average Model," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 38(1), pages 161-184, March.
    2. José Alberto Mauricio, 2002. "An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 473-486, July.
    3. G. Gardner & A. C. Harvey & G. D. A. Phillips, 1980. "An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive–Moving Average Models by Means of Kaiman Filtering," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 29(3), pages 311-322, November.
    4. Ansley, Craig F. & Newbold, Paul, 1980. "Finite sample properties of estimators for autoregressive moving average models," Journal of Econometrics, Elsevier, vol. 13(2), pages 159-183, June.
    5. Mauricio, Jose Alberto, 2006. "Exact maximum likelihood estimation of partially nonstationary vector ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3644-3662, August.
    6. Newbold, Paul & Agiakloglou, Christos & Miller, John, 1994. "Adventures with ARIMA software," International Journal of Forecasting, Elsevier, vol. 10(4), pages 573-581, December.
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