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The exact quasi-likelihood of time dependent ARMA models

par Azrak, Rajae ;Melard, Guy
Référence Journal of Statistical Planning and Inference, 68, 1, page (31-45)
Publication Publié, 1998

Article révisé par les pairs

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Résumé :

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.