The exact likelihood function of a vector autoregressive moving average process

DOI10.1016/j.spl.2008.10.030zbMath1157.62491OpenAlexW2055504064MaRDI QIDQ1009699

Jose L. Gallego

Publication date: 3 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.10.030

Mathematics Subject Classification ID

Related Items (1)

Asymptotic distributions for quasi-efficient estimators in echelon VARMA models

Cites Work

• Unnamed Item
• Unnamed Item
• The exact likelihood function of multivariate autoregressive-moving average models
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• The evaluation of exact maximum likelihood estimates for varma models
• The exact likelihood function for a mixed autoregressive-moving average process
• Analysis of autoregressive-moving average models: Estimation and prediction
• The likelihood function of stationary autoregressive-moving average models
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models

This page was built for publication: The exact likelihood function of a vector autoregressive moving average process