The exact likelihood for a multivariate ARMA model

DOI10.1016/0047-259X(84)90023-XzbMath0544.62084MaRDI QIDQ796949

Victor Solo

Publication date: 1984

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

algorithmstime seriesMarkov modelmissing dataKalman filtersparameterizationKronecker indicesChandrasekhar algorithmexact likelihoodgradient calculationmultivariate ARMA modelspecification of the lag structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) System identification (93B30) Identification in stochastic control theory (93E12) Inference from stochastic processes (62M99)

Related Items (3)

Estimating multivariate autoregressive moving average models by fitting long autoregressions ⋮ New approximation for ARMA parameters estimate ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models

Cites Work

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• Covariance characterization by partial autocorrelation matrices
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• Square-root algorithms for least-squares estimation
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• Evaluation of likelihood functions for Gaussian signals

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