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The exact quasi-likelihood of time dependent ARMA models

Rajae Azrak and Guy Melard

ULB Institutional Repository from ULB -- Universite Libre de Bruxelles

Abstract: 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.

Date: 1998
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Citations: View citations in EconPapers (6)

Published in: Journal of Statistical Planning and Inference (1998) v.68 n° 1,p.31-45

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