This definition appears somewhat frequently

See other **definitions of VMA**

- Abbreviation Database Surfer
- « Previous
- Next »

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)...

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**

This efficiency hypothesis test requires estimation of a high-dimensional **vector moving average** model. We employ a particular state-space representation t...