EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS

DOI10.1111/j.1467-9892.1987.tb00421.xzbMath0606.62100OpenAlexW1967639175MaRDI QIDQ3745110

Pham Dinh Tuan

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00421.x

zbMATH Keywords

time domainderivativesgoodness of fit testARMA modelLagrange multiplier testlog likelihood functionFisher's scoring techniquecomputation methodGaussian time series

Mathematics Subject Classification ID

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

Related Items (2)

A New Type of Discrete Self-Decomposability and Its Application to Continuous-Time Markov Processes for Modeling Count Data Time Series ⋮ Analytic derivatives for estimation of linear dynamic models

Cites Work

• Unnamed Item
• Covariance matrix computation of the state variable of a stationary Gaussian process
• Stability, instability and aperiodicity tests for linear discrete systems
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• The exact likelihood function for a mixed autoregressive-moving average process
• The efficient estimation of vector linear time series models
• Analysis of autoregressive-moving average models: Estimation and prediction
• Testing the adequacy of a time series model
• The likelihood function of stationary autoregressive-moving average models
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process

This page was built for publication: EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS