On the sufficient statistics for multivariate ARMA models: approximate approach

DOI10.1007/S00362-007-0077-0zbMath1309.62020OpenAlexW2009573173MaRDI QIDQ840970

A. R. Nematollahi, Mahmood Kharrati-Kopaei, Zohreh Shishebor

Publication date: 14 September 2009

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-007-0077-0

zbMATH Keywords

sufficient statisticapproximate sufficient statisticmultivariate ARMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sufficient statistics and fields (62B05)

Related Items (1)

Weak VARMA representations of regime-switching state-space models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The density of the sufficient statistics for a Gaussian AR(1) model in terms of generalized functions
• Further results on asymptotic normality. I
• Sufficient statistics for arma models with some fixed parameters
• SUFFICIENT STATISTICS FOR STATIONARY DISCRETE‐TIME GAUSSIAN RANDOM PROCESSES
• Second-order sufficiency and statistical invariants
• On the Sufficient Statistics for Stationary Gaussian Random Processes

This page was built for publication: On the sufficient statistics for multivariate ARMA models: approximate approach