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The exact quasi-likelihood of time dependent ARMA models

  • Rajae Azrak
  • Guy Melard
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    File Function: ISBRUX96
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    Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/13740.

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    Date of creation: 1998
    Date of revision:
    Publication status: Published in: Journal of Statistical Planning and Inference (1998) v.68,p.31-45
    Handle: RePEc:ulb:ulbeco:2013/13740
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    1. Marc Hallin, 1978. "Mixed autoregressive-moving average multivariate processes with time-dependent coefficients," ULB Institutional Repository 2013/1987, ULB -- Universite Libre de Bruxelles.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Marc Hallin, 1986. "Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem," ULB Institutional Repository 2013/2005, ULB -- Universite Libre de Bruxelles.
    4. Guy Melard, 1977. "Sur une classe de modèles ARIMA dépendant du temps," ULB Institutional Repository 2013/13676, ULB -- Universite Libre de Bruxelles.
    5. 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.
    6. Guy Melard, 1984. "Algorithm AS197: a fast algorithm for the exact likelihood of autoregressive-moving average models," ULB Institutional Repository 2013/13692, ULB -- Universite Libre de Bruxelles.
    7. Guy Melard & Roch Roy, 1988. "Modèles de séries chronologiques avec seuil," ULB Institutional Repository 2013/13706, ULB -- Universite Libre de Bruxelles.
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