Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model

DOI10.1093/BIOMET/84.4.957zbMath0892.62069OpenAlexW1967382500MaRDI QIDQ4376606

Chunsheng Ma

Publication date: 15 July 1998

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/84.4.957

zbMATH Keywords

covariance matrixexact likelihood functionmultivariate autoregressive moving average model

Mathematics Subject Classification ID

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

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Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data ⋮ Exact maximum likelihood estimation of partially nonstationary vector ARMA models ⋮ The auto-regression and the moving-average ⋮ The exact likelihood function of a vector autoregressive moving average process

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