Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation

DOI10.1016/j.csda.2018.10.015OpenAlexW2899814452WikidataQ128967093 ScholiaQ128967093MaRDI QIDQ1727916

Hannah Lennon, Jingsong Yuan

Publication date: 21 February 2019

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

Full work available at URL: https://www.research.manchester.ac.uk/portal/en/publications/estimation-of-a-digitised-gaussian-arma-model-by-monte-carlo-expectation-maximisation(3e25a867-4050-482a-8451-1e447144b1f8).html

zbMATH Keywords

EM algorithmmaximum likelihoodARMA modelGaussian copulaMonte Carlo EMinteger-valued time series

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (2)

Multi-variable grey model based on dynamic background algorithm for forecasting the interval sequence ⋮ Copula-based Markov zero-inflated count time series models with application

Uses Software

• R
• KELLEY
• gcmr
• tmvtnorm

Cites Work

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• Integer valued AR processes with explanatory variables
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• Multivariate Dispersion Models Generated From Gaussian Copula
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Monte Carlo EM Estimation for Time Series Models Involving Counts
• Optimal direction Gibbs sampler for truncated multivariate normal distributions
• MCMC for Integer-Valued ARMA processes
• An efficient MCEM algorithm for fitting generalized linear mixed models for correlated binary data

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