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What does VMA stand for?

VMA stands for Vector Moving Average

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Vector moving average (VMA) chart with EWMA on processes was proposed. Numerical analysis with integral equation for average run length of multivariate EWMA...
To derive the joint asymptotics of the time series in (1), we consider the vector moving average 482 M. M. MEERSCHAERT AND H.-P. SCHEFFLER
The Wold vector moving average representation (VMA) of the cointegrated system can be obtained following Mellander, Vredin and Warne (1992) and Warne (1993).
Abstract. In the first essay, I examine the burden of cross-listing prices to adjust to changes in exchange rates. Using a 3-system vector moving average model, I...
implies that the covariance stationary process is a Vector Moving Average (VMA) process,Xt possibly of infinite order: 2 Xt 'µ %j 4 m'0
Rafael Flores de Frutos, Gregorio R. Serrano, A generalized least squares estimation method for invertible vector moving average models, Economics Letters...
Vector Exponential Smoothing; (VAR) and vector moving average (VMA), may be classified as innovations approaches to time series analysis (Lütkepohl 2005)...
Vector moving average, fixed length moving average. The average vma variable moving average vma is on a long. Vma model contains the variable length moving average...
and vector moving average $(q)$ processes are presented as examples. We also address linear processes driven by non-independent errors...
This dissertation provides an empirical examination of four estimation procedures associated with the estimation of the matrix parameters for a vector moving average...
Juan Carlos Escanciano. Home; Research; Curriculum Vitae; Links; AiE; Teaching Themes; Testing for Fundamental Vector Moving Average Representations...
Thus, the vector versions of the ARIMA framework (VARIMA), and special cases such as vector autoregression (VAR) and vector moving average (VMA)...
Abstract Interpretation of; (VAR) and vector moving average representations were applied to quantitatively study the relationships among chemical species in...
The methodological design is a multivariate vector moving average GARCH model which is suitable for examining the nature of the volatility spillover mechanism of long...
Simultaneous Equations Model with Vector Autoregressive Disturbances 7.4 The Linear Simultaneous Equations Model with Vector Moving-Average Disturbances...
We show that the properly filtered process is a vector moving average process, and determine the asymptotic moving average representation of it...
Abstract. Infinite order vector moving average process of. jo. May include lagged dependent variable in the autoregressive moving average.
I propose to estimate structural impulse responses from macroeconomic time series by doing Bayesian inference on the Structural Vector Moving Average representation...
Bayesian Model Order Selection of Vector Moving Average Processes. Samir M. Shaarawy, Sherif S. Ali. Journal: Communications in Statistics-theory and Methods...
Vector Threshold Moving Average Models; class of processes Threshold Vector Moving Average; Threshold Moving Average Models: Model Specification and...
Proposes vector moving average vma representation see equations and the case where is a stationary and a substantial degree of varma models.
function is useful to use in the function varima.sim and may used to compute the coefficients of moving-average or vector moving-average. Usage
Real-life examples of moving average processes. up vote 16 down vote favorite. 5; Thus we model this as a vector moving average process of order $1$ (see pages 4...
The vector moving average process is a stationary stochastic process, where the unobservable process consists of independently identically distributed random variables.
A generalized least squares estimation method for invertible vector moving average models. Authors. Rafael Frutos + 1. Rafael Frutos. Gregorio Serrano. Views. Abstract...
My question is how to estimate a Vector Moving Average model in R. Any suggestions will be appreciated.
Maximum Likelihood Estimation of the Covariances of the Vector Moving Average Models in the Time and Frequency Domains by F. Ahrabi
A generalized least squares estimation method for invertible vector moving average models. Rafael Flores de Frutos, Gregorio R. Serrano;
Publication » Estimation of the Polynomial Matrices of Vector Moving Average Processes.
Testing for Fundamental Vector Moving Average Representations Bin Chen University of Rochester Jinho Choiy Bank of Korea Juan Carlos Escancianoz
Autoregressive moving-average error; The autoregressive error startup methods supported by SAS/ETS; %MA Macro Syntax for Restricted Vector Moving-Average.
Moving Average Models A model with first-order moving average errors, MA(1), has the form; %MA Macro Syntax for Restricted Vector Moving Average
VECTOR MOVING AVERAGE PROCESSES 319 This covariance matrix v can, of course, be updated as better estimates for p are obtained. In fact in his paper Wilson...
This efficiency hypothesis test requires estimation of a high-dimensional vector moving average model. We employ a particular state-space representation t...