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Exact maximum likelihood estimation for extended ARIMA models

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  • Rajae Azrak
  • Guy Melard

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  • Rajae Azrak & Guy Melard, 1993. "Exact maximum likelihood estimation for extended ARIMA models," ULB Institutional Repository 2013/13802, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/13802
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    References listed on IDEAS

    as
    1. Guy Melard & Roch Roy, 1988. "Modèles de séries chronologiques avec seuil," ULB Institutional Repository 2013/13706, ULB -- Universite Libre de Bruxelles.
    2. 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.
    3. Guy Melard, 1981. "On a deterministic sub-model for the innovation process in ARIMA model," ULB Institutional Repository 2013/13812, ULB -- Universite Libre de Bruxelles.
    4. Guy Melard & Annie Herteleer, 1989. "Contributions to the evolutionary spectral theory," ULB Institutional Repository 2013/13708, ULB -- Universite Libre de Bruxelles.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Marc Hallin, 1980. "Invertibility and generalized invertibility of time-series models," ULB Institutional Repository 2013/1991, ULB -- Universite Libre de Bruxelles.
    7. 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.
    8. Guy Mélard & Annie Herteleer‐de Schutter, 1989. "Contributions To Evolutionary Spectral Theory," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(1), pages 41-63, January.
    9. Guy Melard, 1981. "On an alternative model for intervention analysis," ULB Institutional Repository 2013/13782, ULB -- Universite Libre de Bruxelles.
    10. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Cited by:

    1. Guy Melard & Jean-Michel Pasteels, 1998. "User's manual of Time Series Expert: TSE version 2.3," ULB Institutional Repository 2013/14082, ULB -- Universite Libre de Bruxelles.
    2. Rajae Azrak & Guy Mélard, 2006. "Asymptotic Properties of Quasi-Maximum Likelihood Estimators for ARMA Models with Time-Dependent Coefficients," Statistical Inference for Stochastic Processes, Springer, vol. 9(3), pages 279-330, October.

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