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On the parametrization of autoregressive models by partial autocorrelations

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Cited by:

  1. Delle Monache, Davide & Petrella, Ivan, 2017. "Adaptive models and heavy tails with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
  2. Ng, Chi Tim & Joe, Harry, 2010. "Generating random AR(p) and MA(q) Toeplitz correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1532-1545, July.
  3. Ilya Archakov & Peter Reinhard Hansen & Yiyao Luo, 2024. "A new method for generating random correlation matrices," The Econometrics Journal, Royal Economic Society, vol. 27(2), pages 188-212.
  4. Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009. "Real-Time Measurement of Business Conditions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427.
  5. Meyer-Gohde, Alexander & Neuhoff, Daniel, 2015. "Generalized exogenous processes in DSGE: A Bayesian approach," SFB 649 Discussion Papers 2015-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  6. Tommaso Proietti & Alessandro Giovannelli, 2018. "A Durbin–Levinson regularized estimator of high-dimensional autocovariance matrices," Biometrika, Biometrika Trust, vol. 105(4), pages 783-795.
  7. Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
  8. McLeod, A.I. & Zhang, Y., 2008. "Faster ARMA maximum likelihood estimation," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 2166-2176, January.
  9. Pötscher, Benedikt M. & Preinerstorfer, David, 2018. "Controlling the size of autocorrelation robust tests," Journal of Econometrics, Elsevier, vol. 207(2), pages 406-431.
  10. Ku, Simon F., 1997. "Limited distribution of sample partial autocorrelations: A matrix approach," Stochastic Processes and their Applications, Elsevier, vol. 72(1), pages 121-143, December.
  11. Tobias Hartl & Roland Jucknewitz, 2022. "Approximate state space modelling of unobserved fractional components," Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 75-98, January.
  12. Fitzgibbon, L.J., 2006. "On sampling stationary autoregressive model parameters uniformly in r2 value," Statistics & Probability Letters, Elsevier, vol. 76(4), pages 349-352, February.
  13. Xu, Zhihao & Hurvich, Clifford M., 2026. "A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation," Econometrics and Statistics, Elsevier, vol. 37(C), pages 214-229.
  14. Wang, Wan-Lun & Fan, Tsai-Hung, 2012. "Bayesian analysis of multivariate t linear mixed models using a combination of IBF and Gibbs samplers," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 300-310.
  15. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
  16. Aldo M. Garay & Francyelle L. Medina & Suelem Torres de Freitas & Víctor H. Lachos, 2024. "Bayesian analysis of linear regression models with autoregressive symmetrical errors and incomplete data," Statistical Papers, Springer, vol. 65(9), pages 5649-5690, December.
  17. Heikki Kauppi, 2008. "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics," Discussion Papers 31, Aboa Centre for Economics.
  18. Proietti, Tommaso & Luati, Alessandra, 2013. "The Exponential Model for the Spectrum of a Time Series: Extensions and Applications," MPRA Paper 45280, University Library of Munich, Germany.
  19. Bladt Martin & McNeil Alexander J., 2022. "Time series with infinite-order partial copula dependence," Dependence Modeling, De Gruyter, vol. 10(1), pages 87-107, January.
  20. Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
  21. Davide Delle Monache & Ivan Petrella, 2014. "Adaptive Models and Heavy Tails," Birkbeck Working Papers in Economics and Finance 1409, Birkbeck, Department of Economics, Mathematics & Statistics.
  22. Sigrunn Holbek Sørbye & Håvard Rue, 2017. "Penalised Complexity Priors for Stationary Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 923-935, November.
  23. repec:jss:jstsof:28:i02 is not listed on IDEAS
  24. Alessandra Luati & Tommaso Proietti, 2016. "Generalised Partial Autocorrelations and the Mutual Information Between Past and Future," Springer Books, in: Mark Podolskij & Robert Stelzer & Steen Thorbjørnsen & Almut E. D. Veraart (ed.), The Fascination of Probability, Statistics and their Applications, pages 303-315, Springer.
  25. Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-1450, September.
  26. Philippe, Anne, 2006. "Bayesian analysis of autoregressive moving average processes with unknown orders," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1904-1923, December.
  27. Neuhoff, Daniel, 2015. "Dynamics of real per capita GDP," SFB 649 Discussion Papers 2015-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  28. Zhang, Y. & McLeod, A.I., 2006. "Fitting MA(q) models in the closed invertible region," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1331-1334, July.
  29. O. Anderson, 1976. "Some new Time Sdries results," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 23(1), pages 65-76, December.
  30. Luigi Spezia & Andy Vinten & Roberta Paroli & Marc Stutter, 2021. "An evolutionary Monte Carlo method for the analysis of turbidity high‐frequency time series through Markov switching autoregressive models," Environmetrics, John Wiley & Sons, Ltd., vol. 32(8), December.
  31. Chen, Cathy W.S. & Yu, Tiffany H.K., 2005. "Long-term dependence with asymmetric conditional heteroscedasticity in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 353(C), pages 413-424.
  32. Paul Labonne & Martin Weale, 2018. "Temporal disaggregation of overlapping noisy quarterly data using state space models: Estimation of monthly business sector output from Value Added Tax data in the UK," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-18, Economic Statistics Centre of Excellence (ESCoE).
  33. repec:hum:wpaper:sfb649dp2015-039 is not listed on IDEAS
  34. Dégerine, Serge & Lambert-Lacroix, Sophie, 2003. "Characterization of the partial autocorrelation function of nonstationary time series," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 46-59, October.
  35. Smith, Michael Stanley & Maneesoonthorn, Worapree, 2018. "Inversion copulas from nonlinear state space models with an application to inflation forecasting," International Journal of Forecasting, Elsevier, vol. 34(3), pages 389-407.
  36. Bingham, N.H. & Inoue, Akihiko & Kasahara, Yukio, 2012. "An explicit representation of Verblunsky coefficients," Statistics & Probability Letters, Elsevier, vol. 82(2), pages 403-410.
  37. Martin Bladt & Alexander J. McNeil, 2021. "Time series models with infinite-order partial copula dependence," Papers 2107.00960, arXiv.org.
  38. Wang, Wan-Lun & Fan, Tsai-Hung, 2010. "ECM-based maximum likelihood inference for multivariate linear mixed models with autoregressive errors," Computational Statistics & Data Analysis, Elsevier, vol. 54(5), pages 1328-1341, May.
  39. Shaman, Paul, 2010. "Generalized Levinson-Durbin sequences, binomial coefficients and autoregressive estimation," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1263-1273, May.
  40. Li, Xixi & Yuan, Jingsong, 2024. "DeepTVAR: Deep learning for a time-varying VAR model with extension to integrated VAR," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1123-1133.
  41. Maria Barbieri & Caterina Conigliani, 1998. "Bayesian analysis of autoregressive time series with change points," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 7(3), pages 243-255, December.
  42. Chen, Tianbo & Sun, Ying & Li, Ta-Hsin, 2021. "A semi-parametric estimation method for the quantile spectrum with an application to earthquake classification using convolutional neural network," Computational Statistics & Data Analysis, Elsevier, vol. 154(C).
  43. repec:hum:wpaper:sfb649dp2015-014 is not listed on IDEAS
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