On the numerical implementation of the generalized least squares procedure for arma estimation

DOI10.1080/03610919508813233zbMath0850.62650OpenAlexW2079945048MaRDI QIDQ4861314

M. O. Salau

Publication date: 14 January 1996

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919508813233

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

The effects of different choices of order for autoregressive approximation on the Gaussian likelihood estimates for ARMA models

Cites Work

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• Some efficient computational procedures for high order ARMA models
• REGRESSION, AUTOREGRESSION MODELS
• On Deriving the Inverse of a Sum of Matrices
• Recursive estimation of mixed autoregressive-moving average order
• Stable spectral factorization with applications to the estimation of time series models

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