Estimation on a GAR(1) Process by the EM Algorithm

DOI10.1515/EQC.2007.165zbMath1379.62053MaRDI QIDQ3526950

Georgiana Popovici, Monica E. Bad Dumitrescu

Publication date: 25 September 2008

Published in: Economic Quality Control (Search for Journal in Brave)

zbMATH Keywords

parameter estimationEM algorithmautoregressive gamma processes

Mathematics Subject Classification ID

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

Related Items (1)

Gamma-related Ornstein–Uhlenbeck processes and their simulation*

Cites Work

• On conditional least squares estimation for stochastic processes
• Simulation of weibull and gamma autoregressive stationary process
• First-order autoregressive gamma sequences and point processes
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS
• First-order autoregressive models for gamma and exponential processes

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