Asymptotic distribution of residual autocorrelations from estimation of ARMA processes by Gram-Schmidt orthogonalization
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Publication:1154190
DOI10.1016/0304-4149(81)90005-3zbMath0464.62019OpenAlexW2066087689MaRDI QIDQ1154190
Publication date: 1981
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(81)90005-3
maximum likelihood estimationGram-Schmidt orthogonalizationautoregressive-moving average modelsresidual autocorrelations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
Cites Work
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- Finite sample properties of estimators for autoregressive moving average models
- On a General Concept of "In Probability"
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- Least squares estimation in the regression model with autoregressive-moving average errors
- The asymptotic theory of linear time-series models
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