MAXIMUM LIKELIHOOD ESTIMATION OF AUTOCOVARIANCE MATRICES FROM REPLICATED SHORT TIME SERIES

DOI10.1111/J.1467-9892.1987.TB00428.XzbMath0616.62117OpenAlexW2018106930MaRDI QIDQ4725561

Serge Dégerine

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00428.x

zbMATH Keywords

maximum likelihood estimationToeplitz matrixsimulation resultsspectral decompositionsautocovariance matrixGaussian stationary time seriesreplicated short time series

Mathematics Subject Classification ID

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

Related Items (1)

Replicated INAR(1) processes

Cites Work

• Characterization of the partial autocorrelation function
• Unnamed Item

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