An algorithm for the exact likelihood of periodic autoregressive moving average models

DOI10.1080/03610918808812737zbMath0695.62217OpenAlexW1974909768MaRDI QIDQ3471566

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Publication date: 1988

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918808812737

zbMATH Keywords

autocovariance functionsexact likelihoodperiodic autoregressive moving average models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION ⋮ RECURSIVE COMPUTATION OF THE PARAMETERS OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE PROCESSES ⋮ Exact maximum likelihood estimation for non-stationary periodic time series models ⋮ Causality conditions and autocovariance calculations in PVAR models ⋮ A Note on Calculating Autocovariances of PeriodicARMAModels ⋮ Model-building problem of periodically correlated \(m\)-variate moving average processes ⋮ Calculating the autocovariances and the likelihood for periodic V ARMA models

Cites Work

• On periodic and multiple autoregressions
• Some results in periodic autoregression
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• An efficient method for finding the minimum of a function of several variables without calculating derivatives

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