ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING

DOI10.1111/J.1467-9892.1995.TB00244.XzbMath0845.62062OpenAlexW1963500680MaRDI QIDQ4855270

Dong Wan Shin, Sahadeb Sarkar

Publication date: 18 September 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00244.x

zbMATH Keywords

restricted maximum likelihood estimatorvector autoregressive moving average modelvector ARMAX modelNewton-Raphson estimatornonlinear parametric restrictionsrotational sampling problems

Mathematics Subject Classification ID

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

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