GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS

DOI10.1111/1467-9892.00301zbMath1113.62103OpenAlexW1988133493MaRDI QIDQ3440783

M. Salau, E. J. Hannan, Laimonis Kavalieris

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00301

zbMATH Keywords

ARMA modelmultistage methodgeneralized least squares method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Numerical optimization and variational techniques (65K10)

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A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models ⋮ Using the Residual White Noise Autoregressive Order Determination Criterion to Identify Unit Roots in Arima Models

Cites Work

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