References
- Aknouche , A. ( 2007 ). Causality conditions and autocovariance calculations in PVAR models . Journal of Statistical Computation and Simulation 77 : 769 – 780 .
- Aknouche , A. , Hamdi , F. ( 2008 ). Calculating the autocovariances and the likelihood for periodic VARMA models . Journal of Statistical Computation and Simulation , to appear. DOI: 10.1080/00949650701692291 .
- Bentarzi , M. , Aknouche , A. ( 2005 ). Calculation of the Fisher information matrix for periodic ARMA models . Communications in Statistics – Theory and Methods 34 : 891 – 903 .
- Li , W. K. , Hui , Y. V. ( 1988 ). An algorithm for the exact likelihood of periodic autoregressive moving average models . Communication in Statistics – Simulation and Computation 16 : 1483 – 1494 .
- Lund , R. , Basawa , I. V. ( 2000 ). Recursive prediction and likelihood evaluation for periodic ARMA models . Journal of Time Series Analysis 21 : 75 – 93 .
- Shao , Q. , Lund , R. ( 2004 ). Computation and characterization of autocorrelations and partial autocorrelations in periodic ARMA models . Journal of Time Series Analysis 25 : 359 – 372 .