Rajae Azrak

The exact quasi-likelihood of time-dependent ARMA models☆

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.