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Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm (Q3505323)

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Language	Label	Description	Also known as
English	Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm	scientific article

Statements

scholarly article

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Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm (English)

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Konstantinos Metaxoglou

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Journal of Time Series Analysis

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publication date

18 June 2008

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zbMATH Keywords

Kalman filter

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2007.00529.x

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An algorithm for the exact likelihood of a mixed autoregressive-moving average process

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Exact likelihood of vector autoregressive-moving average process with missing or aggregated data

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Analysis of Generalized Pattern Searches

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Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here

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Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models

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A generalized least squares estimation method for invertible vector moving average models

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Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering

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Global optimization of statistical functions with simulated annealing

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Recursive estimation of mixed autoregressive-moving average order

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Likelihood Function of Stationary Multiple Autoregressive Moving Average Models

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Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations

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Fast Filtering and Smoothing for Multivariate State Space Models

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Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions

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Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models

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The Exact Likelihood Function of a Vector Autoregressive Moving Average Model

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An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model

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On the global and componentwise rates of convergence of the EM algorithm

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The exact likelihood function for a mixed autoregressive-moving average process

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The exact likelihood function of multivariate autoregressive-moving average models

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Computation of the exact likelihood function of multivariate moving average models

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On the study of some functions of multivariate ARMA processes

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Mixture Densities, Maximum Likelihood and the EM Algorithm

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Elements of multivariate time series analysis

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Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter

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On the Convergence of Pattern Search Algorithms

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Identifiers

zbMATH Open document ID

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10.1111/j.1467-9892.2007.00529.x

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:3505323

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