ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES

Guofu Zhou

doi:10.1111/j.1467-9892.1992.tb00101.x

ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES

Guofu Zhou

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

Abstract. This paper presents efficient algorithms for evaluating the likelihood function and its gradient of possibly nonstationary vector autoregressive moving‐average (VARMA) processes.

Original language	English
Pages (from-to)	171-188
Number of pages	18
Journal	Journal of Time Series Analysis
Volume	13
Issue number	2
DOIs	https://doi.org/10.1111/j.1467-9892.1992.tb00101.x
State	Published - Mar 1992

Keywords

Bayesian analysis
Forecasting
innovation algorithm
likelihood function
Whittle algorithm

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10.1111/j.1467-9892.1992.tb00101.x

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title = "ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES",

abstract = "Abstract. This paper presents efficient algorithms for evaluating the likelihood function and its gradient of possibly nonstationary vector autoregressive moving‐average (VARMA) processes.",

keywords = "Bayesian analysis, Forecasting, innovation algorithm, likelihood function, Whittle algorithm",

author = "Guofu Zhou",

year = "1992",

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doi = "10.1111/j.1467-9892.1992.tb00101.x",

language = "English",

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N2 - Abstract. This paper presents efficient algorithms for evaluating the likelihood function and its gradient of possibly nonstationary vector autoregressive moving‐average (VARMA) processes.

AB - Abstract. This paper presents efficient algorithms for evaluating the likelihood function and its gradient of possibly nonstationary vector autoregressive moving‐average (VARMA) processes.

KW - Bayesian analysis

KW - Forecasting

KW - innovation algorithm

KW - likelihood function

KW - Whittle algorithm

UR - https://www.scopus.com/pages/publications/84981416617

U2 - 10.1111/j.1467-9892.1992.tb00101.x

DO - 10.1111/j.1467-9892.1992.tb00101.x

M3 - Article

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SN - 0143-9782

VL - 13

SP - 171

EP - 188

JO - Journal of Time Series Analysis

JF - Journal of Time Series Analysis

IS - 2

ER -

ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES

Abstract

Keywords

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