Maximum likelihood estimation of parameters of autoregressive processes with moving average residuals and other covariance matrices with linear structure

DOI10.1214/AOS/1176343285zbMath0331.62067OpenAlexW2059164236MaRDI QIDQ1227429

Publication date: 1975

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176343285

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

Outlier Detection in Time Series Models Using Local Influence Method ⋮ On some properties of positive definite Toeplitz matrices and their possible applications ⋮ Large sample estimation and testing procedures for dynamic equation systems ⋮ Estimation in the first-order moving average model through the finite autoregressive approximation: Some asymptotic results ⋮ A Monte Carlo study of autoregressive integrated moving average processes ⋮ ARMA spectral estimation based on partial autocorrelations

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