Modified Gaussian likelihood estimators for ARMA models on \(\mathbb Z^d\)

DOI10.1016/j.spa.2009.09.008zbMath1178.62096OpenAlexW2037065121MaRDI QIDQ1045794

Chrysoula Dimitriou-Fakalou

Publication date: 16 December 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.09.008

zbMATH Keywords

maximum likelihood estimationedge-effectsautoregressive moving-average modelsecond-order properties

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (4)

Gaussian pseudo-likelihood estimation for stationary processes on a lattice ⋮ Yule-Walker estimation for the moving-average model ⋮ On stationarity and second-order properties of bilinear random fields ⋮ On the validity of Akaike's identity for random fields

Cites Work

• Unnamed Item
• Modelling data observed irregularly over space and regularly in time
• Gaussian maximum likelihood estimation for ARMA models. II: Spatial processes
• Time series: theory and methods.
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• Edge effects and efficient parameter estimation for stationary random fields
• Parameter estimation for a stationary process on a d-dimensional lattice
• The asymptotic theory of linear time-series models
• ON STATIONARY PROCESSES IN THE PLANE

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