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A Bayesian analysis of moving average processes with time-varying parameters

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  • Triantafyllopoulos, K.
  • Nason, G.P.

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  • Triantafyllopoulos, K. & Nason, G.P., 2007. "A Bayesian analysis of moving average processes with time-varying parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1025-1046, October.
    • Handle: RePEc:eee:csdana:v:52:y:2007:i:2:p:1025-1046
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    1. G. P. Nason & R. Von Sachs & G. Kroisandt, 2000. "Wavelet processes and adaptive estimation of the evolutionary wavelet spectrum," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 271-292.
    2. Sims, Christopher A & Uhlig, Harald, 1991. "Understanding Unit Rooters: A Helicopter Tour," Econometrica, Econometric Society, vol. 59(6), pages 1591-1599, November.
    3. Christian Francq & Antony Gautier, 2004. "Large sample properties of parameter least squares estimates for time‐varying arma models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 765-783, September.
    4. Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
    5. DeJong, David N & Whiteman, Charles H, 1993. "Estimating Moving Average Parameters: Classical Pileups and Bayesian Posteriors," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 311-317, July.
    6. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-364, Oct.-Dec..
    7. Abdelouahab Bibi & Christian Francq, 2003. "Consistent and asymptotically normal estimators for cyclically time-dependent linear models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 41-68, March.
    8. Paul L. Anderson & Mark M. Meerschaert, 2005. "Parameter Estimation for Periodically Stationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(4), pages 489-518, July.
    9. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    10. Koopman, Siem Jan & Ooms, Marius, 2006. "Forecasting daily time series using periodic unobserved components time series models," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 885-903, November.
    11. Clinton Watkins & Michael McAleer, 2004. "Econometric modelling of non‐ferrous metal prices," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 651-701, December.
    12. Salvador, Manuel & Gargallo, Pilar, 2004. "Automatic monitoring and intervention in multivariate dynamic linear models," Computational Statistics & Data Analysis, Elsevier, vol. 47(3), pages 401-431, October.
    13. Foschi, Paolo & Belsley, David A. & Kontoghiorghes, Erricos J., 2003. "A comparative study of algorithms for solving seemingly unrelated regressions models," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 3-35, October.
    14. Zivot, Eric, 1994. "A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 552-578, August.
    15. Fildes, Robert, 1992. "The evaluation of extrapolative forecasting methods," International Journal of Forecasting, Elsevier, vol. 8(1), pages 81-98, June.
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    Cited by:

    1. Abdelkamel Alj & Christophe Ley & Guy Melard, 2015. "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES ECARES 2015-21, ULB -- Universite Libre de Bruxelles.
    2. Alj, Abdelkamel & Jónasson, Kristján & Mélard, Guy, 2016. "The exact Gaussian likelihood estimation of time-dependent VARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 633-644.
    3. Triantafyllopoulos, K. & Nason, G.P., 2009. "A note on state space representations of locally stationary wavelet time series," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 50-54, January.

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