MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT

DOI10.1111/j.1467-9892.1992.tb00099.xzbMath0850.62668OpenAlexW1990614029MaRDI QIDQ4012953

Sabyasachi Basu, Gregory C. Reinsel, Sook Fwe Yap

Publication date: 27 September 1992

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00099.x

Mathematics Subject Classification ID

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

Related Items (11)

A generalized least squares estimation method for VARMA models ⋮ Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ Improved multivariate portmanteau test ⋮ ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density ⋮ New approximation for ARMA parameters estimate ⋮ Estimating models with high-order noise dynamics using semi-parametric weighted null-space fitting ⋮ Asymmetric vector moving average models: estimation and testing ⋮ Estimating the system order by subspace methods ⋮ On multiplicative seasonal modelling for vector time series ⋮ Maximum likelihood estimation for uncertain autoregressive moving average model with application in financial market ⋮ Joint modeling of cointegration and conditional heteroscedasticity with applications

Cites Work

• The estimation of ARMA models
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Computation of the exact likelihood function of multivariate moving average models
• The exact likelihood function of multivariate autoregressive-moving average models
• Multivariate linear time series models
• A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
• A method for autoregressive-moving average estimation
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Modeling Multiple Times Series with Applications
• Recursive estimation of mixed autoregressive-moving average order
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• Vector linear time series models

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