Fast optimization of the exact likelihood of AR and ARMA processes

DOI10.1016/0167-9473(92)00005-CzbMath0937.62524OpenAlexW2037815768MaRDI QIDQ1361557

Alberto Luceño

Publication date: 25 August 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(92)00005-c

zbMATH Keywords

filtering algorithmmaximum likelihood estiamtesNewton-Raphson optimizationtime series estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations ⋮ EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES ⋮ Computing optimal adjustment schemes for the general tool-wear problem ⋮ Parameter estimation with closed-loop operating data under time varying discrete proportional-integral control ⋮ Modeling Covariance Parameters for Purely Autoregressive Correlated Longitudinal Data

Uses Software

• BRENT
• AS 154
• AS 197

Cites Work

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• Some efficient computational procedures for high order ARMA models
• The exact likelihood function of multivariate autoregressive-moving average models
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
• The exact likelihood function for a mixed autoregressive-moving average process
• Computation of the exact likelihood function of an arima process
• Analysis of autoregressive-moving average models: Estimation and prediction
• The likelihood function of stationary autoregressive-moving average models
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Algorithms for Triangular Decomposition of Block Hankel and Toeplitz Matrices with Application to Factoring Positive Matrix Polynomials