The auto-regression and the moving-average
From MaRDI portal
Publication:963863
DOI10.1016/J.JSPI.2009.12.022zbMath1184.62151OpenAlexW1970025204MaRDI QIDQ963863
Publication date: 14 April 2010
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2009.12.022
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Basic linear algebra (15A99)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Computation of the exact likelihood function of multivariate moving average models
- The exact likelihood function of multivariate autoregressive-moving average models
- EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
- On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
- On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process
- Inverse Autocorrelations
- Algorithm AS 154: An Algorithm for Exact Maximum Likelihood Estimation of Autoregressive-Moving Average Models by Means of Kalman Filtering
- The likelihood function of stationary autoregressive-moving average models
- An algorithm for the exact likelihood of a mixed autoregressive-moving average process
- A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes
- The exact likelihood of an autoregressive-moving average model with incomplete data
- Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
- On the inverses of some patterned matrices arising in the theory of stationary time series
- Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
- Large-sample estimation of parameters for autoregressive processes with moving-average residuals
This page was built for publication: The auto-regression and the moving-average
