ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS

DOI10.1111/j.1467-9892.1980.tb00302.xzbMath0499.62084OpenAlexW2092638375MaRDI QIDQ3965458

T. W. Anderson, Raul Pedro Mentz

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1980.tb00302.x

zbMATH Keywords

Gaussian moving average processexistence of maximum likelihood estimatesfinite order normal autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (4)

Robust estimation in time series ⋮ Predictive inference for linear and multivariate linear models with ma(1) error processes ⋮ A note on maximum likelihood estimation in the first-order Gaussian moving average model ⋮ Assessing Prediction Error in Autoregressive Models

Cites Work

• Unnamed Item
• The generalized variance of a stationary autoregressive process
• Strong consistency of least squares estimates in dynamic models
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• Vector linear time series models: corrections and extensions

This page was built for publication: ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS