Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
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Publication:803700
DOI10.1016/0165-1889(91)90041-XzbMath0727.62085WikidataQ127493899 ScholiaQ127493899MaRDI QIDQ803700
Publication date: 1991
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Kalman filterautoregressive processesexact maximum-likelihood estimation of multivariate ARMA modelsstate-space representationsunconditional state-covariance matrix
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Economic growth models (91B62)
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- The exact initial covariance matrix of the state vector of a general \(MA(q)\) process
- Exact maximum-likelihood estimation of autoregressive models via the Kalman filter
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- ESTIMATION OF MULTIVARIATE TIME SERIES
- A note on obtaining the theoretical autocovariances of an ARMA process
