The exact quasi-likelihood of time dependent ARMA models
No abstract is available for this item.
|Date of creation:||1998|
|Publication status:||Published in: Journal of Statistical Planning and Inference (1998) v.68,p.31-45|
|Contact details of provider:|| Postal: CP135, 50, avenue F.D. Roosevelt, 1050 Bruxelles|
Web page: http://difusion.ulb.ac.be
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References listed on IDEAS
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- Guy Melard & Roch Roy, 1988. "Modèles de séries chronologiques avec seuil," ULB Institutional Repository 2013/13706, ULB -- Universite Libre de Bruxelles.
- 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.
- Guy Melard, 1977. "Sur une classe de modèles ARIMA dépendant du temps," ULB Institutional Repository 2013/13676, ULB -- Universite Libre de Bruxelles.
- Hallin, Marc, 1978.
"Mixed autoregressive-moving average multivariate processes with time-dependent coefficients,"
Journal of Multivariate Analysis,
Elsevier, vol. 8(4), pages 567-572, December.
- Marc Hallin, 1978. "Mixed autoregressive-moving average multivariate processes with time-dependent coefficients," ULB Institutional Repository 2013/1987, ULB -- Universite Libre de Bruxelles.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
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