A Fast Estimation Method for the Vector Autoregressive Moving Average Model with Exogenous Variables
A Fast Estimation Method for the Vector Autoregressive Moving Average Model with Exogenous Variables
复制标题
含外生变量的向量自回归移动平均模型的快速估计方法
DOI：
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发表时间：
1983
期刊：
影响因子：
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通讯作者：
H. Spliid
中科院分区：
文献类型：
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作者：
H. Spliid
摘要提出了一种估计大型多元时间序列和分布滞后模型参数的快速简单算法。对估计值分布的分析表明，它们是渐近正态和无偏的，并且它们的方差以1/n的方式减小，n是样本大小。该算法特别适用于大型多变量模型的估计，通常比最大化算法快许多倍。
Abstract A very fast and simple algorithm for estimation of the parameters of large multivariate time series and distributed lag models is presented. An analysis of the distribution of the estimates shows that they are asymptotically normal and unbiased, and that they have a variance that decreases like 1/n, n being the sample size. The algorithm is especially applicable for estimation of large multivariate models where it is generally many times faster than maximalization algorithms.