Regression Procedures for ARMA Estimation

DOI10.2307/2288867zbMath0664.62091OpenAlexW4235710724MaRDI QIDQ3814603

A. J. McDougall, E. J. Hannan

Publication date: 1988

Full work available at URL: https://doi.org/10.2307/2288867

zbMATH Keywords

asymptotic distributionLyapunov functionparameter estimationinvertibilitystationaritypositive real conditionautoregression moving averageglobal convergence resultinitial estimates for iterative maximization of a Gaussian likelihoodRegression procedures

Mathematics Subject Classification ID

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

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