The exact quasi-likelihood of time dependent ARMA models
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Cited by:
- Rajae Azrak & Guy Melard, 2017. "Autoregressive Models with Time-dependent Coefficients. A comparison between Several Approaches," Working Papers ECARES ECARES 2017-48, ULB -- Universite Libre de Bruxelles.
- 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.
- Rajae Azrak & Guy Mélard, 2022. "Autoregressive Models with Time-Dependent Coefficients—A Comparison between Several Approaches," Stats, MDPI, vol. 5(3), pages 1-21, August.
- Yacouba Boubacar Maïnassara & Landy Rabehasaina, 2020. "Estimation of weak ARMA models with regime changes," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 1-52, April.
- Xinyang Wang & Dehui Wang & Kai Yang, 2021. "Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 713-750, July.
- Han Li & Kai Yang & Dehui Wang, 2017. "Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes," Computational Statistics, Springer, vol. 32(4), pages 1597-1620, December.
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