A Monte Carlo study of autoregressive integrated moving average processes
type: Item
instance of: scholarly article
title: A Monte Carlo study of autoregressive integrated moving average processes
zbMATH Open document ID: 0373.62053
DOI: 10.1016/0304-4076(78)90004-0
author: An-Sik Min
author: Warren T. Dent
published in: Journal of Econometrics
publication date: 1978-01-01T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 3581492
MaRDI profile type: Publication
full work available at URL: 0304-4076(78)90004-0
OpenAlex ID: W1970128572
cites work: A Compendium on Estimation of the Autoregressive Moving Average Model from the Series Data
cites work: Maximum likelihood estimation of parameters of autoregressive processes with moving average residuals and other covariance matrices with linear structure
cites work: Q5663204
cites work: A New Method of Constrained Optimization and a Comparison With Other Methods
cites work: Handbook series linear algebra. Linear least squares solutions by Householder transformations
cites work: Comparative efficiencies of methods of estimating parameters in linear autoregressive schemes
cites work: Computation of the exact likelihood function of an arima process
cites work: EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
cites work: Numerical computations for univariate linear models
cites work: Q4113288
cites work: A Retrospective and Prospective Survey of the Monte Carlo Method
cites work: Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
cites work: The Reporting of Computation-Based Results in Statistics
cites work: Q5644923
cites work: The Estimation of Parameters in Linear Autoregressive Time Series
cites work: Q3214096
cites work: An Algorithm for Least-Squares Estimation of Nonlinear Parameters
cites work: Improvements on fast methods for generating normal random variables
cites work: The first-order moving average process. Identification, estimation and prediction
cites work: The effect of transformations of variables upon their correlation coefficients
cites work: On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process
cites work: Large-sample estimation of parameters for autoregressive processes with moving-average residuals
cites work: Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
cites work: Q5808925
cites work: Q5725155
cites work: Analysis of Distributed Lag Models with Applications to Consumption Function Estimation
description: scientific article; zbMATH DE number 3581492