Maximum likelihood estimators of parameters of multidimensional stationary Gaussian AR processes

DOI10.1016/0898-1221(94)90063-9zbMath0811.62079OpenAlexW2046855188MaRDI QIDQ1323603

István Fazekas

Publication date: 1 June 1994

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0898-1221(94)90063-9

zbMATH Keywords

Wiener processmaximum likelihood estimatormultidimensional stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05)

Cites Work

• Linear stochastic systems with constant coefficients. A statistical approach
• On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
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