A computationally attractive method for estimating the linear regression model with autoregressive moving average disturbances

zbMath0831.62063MaRDI QIDQ1901294

Askar H. Choudhury, Simon Power, Robert D. St. Louis

Publication date: 11 December 1995

Published in: Metron (Search for Journal in Brave)

zbMATH Keywords

tablessums of squaresmaximum likelihood estimationgeneralized least squaresordinary least squaresARMA (1,1) disturbancesrelative efficiency comparisons

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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