Nature

Continuous-Time Autoregressive Moving Average Processes

Continuous-Time Autoregressive Moving Average (CARMA) processes extend the classical discrete-time ARMA framework to continuous time, offering a flexible modelling approach for phenomena where ...
Simon Fraser University

Autoregressive Moving Average Error Processes

A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
Simon Fraser University

Preliminary Autoregressive Models

After computing the sample autocovariance matrices, PROC STATESPACE fits a sequence of vector autoregressive models. These preliminary autoregressive models are used to estimate the autoregressive ...
JSTOR Daily

Estimation for Autoregressive Time Series with a Root near 1

Estimators for the parameters of autoregressive time series are compared, emphasizing processes with a unit root or a root close to 1. The approximate bias of the sum of the autoregressive ...
JSTOR Daily

A Fast Algorithm for the Exact Likelihood of Stationary and Partially Nonstationary Vector Autoregressive-Moving Average Processes

This is a preview. Log in through your library . Abstract An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very ...