The evaluation of exact maximum likelihood estimates for varma models

DOI10.1080/00949658008810373zbMath0433.62062OpenAlexW2120550522MaRDI QIDQ3871775

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Publication date: 1980

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658008810373

zbMATH Keywords

exogenous variablesvector autoregressive moving average modelsexact maximum likelihood estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (4)

The exact Gaussian likelihood estimation of time-dependent VARMA models ⋮ An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes ⋮ The exact likelihood function of a vector autoregressive moving average process ⋮ A note on obtaining the theoretical autocovariances of an ARMA process

Uses Software

• BRENT

Cites Work

• Unnamed Item
• Numerical methods for solving linear least squares problems
• The exact likelihood function of multivariate autoregressive-moving average models
• The efficient estimation of vector linear time series models
• Computation of the exact likelihood function of an arima process
• The Identification Problem for Multiple Equation Systems with Moving Average Errors

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