Exact Likelihood Equations for Autoregression Models with Multivariate Elliptically Contoured Distributions

DOI10.1080/03610910802711743zbMath1160.62085OpenAlexW2130259465MaRDI QIDQ3625362

Bahram Tarami, Zahra Khodadadi

Publication date: 12 May 2009

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

Full work available at URL: https://doi.org/10.1080/03610910802711743

zbMATH Keywords

covariance functioncausalitystationary processYule-Walker equationsinnovation distributionKotz-type distributionPearson-type VII distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series: theory and methods.
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors
• Unnamed Item

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