The exact quasi-likelihood of time-dependent ARMA models

✍ Scribed by Rajae Azrak; Guy Mélard

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 958 KB
• Volume: 68
• Category: Article
• ISSN: 0378-3758
• DOI: 10.1016/s0378-3758(97)00134-1

✦ Synopsis

The purpose of the paper is to propose a simple and efficient algorithm to evaluate the exact quasi-likelihood of (possibly marginally heteroscedastic) ARMA models with time-dependent coefficients. The algorithm is based on the Kalman filter and is therefore simpler than a previous algorithm based on a Cholesky factorisation. Computational efficiency is obtained by taking the ARMA structure into account. Empirical evidence is given.