Fast optimization of the exact likelihood of AR and ARMA processes
type: Item
instance of: scholarly article
title: Fast optimization of the exact likelihood of AR and ARMA processes
zbMATH Open document ID: 0937.62524
DOI: 10.1016/0167-9473(92)00005-C
published in: Computational Statistics and Data Analysis
publication date: 1997-08-25T00:00:00Z
Mathematics Subject Classification ID: 62-XX
zbMATH DE Number: 1039194
zbMATH Keywords: filtering algorithm
zbMATH Keywords: maximum likelihood estiamtes
zbMATH Keywords: Newton-Raphson optimization
zbMATH Keywords: time series estimation
author: Alberto Luceño
describes a project that uses: BRENT
describes a project that uses: AS 154
describes a project that uses: AS 197
MaRDI profile type: Publication
cites work: Analysis of autoregressive-moving average models: Estimation and prediction
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cites work: Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
cites work: The exact likelihood function for a mixed autoregressive-moving average process
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cites work: Q3860701
cites work: Algorithms for Triangular Decomposition of Block Hankel and Toeplitz Matrices with Application to Factoring Positive Matrix Polynomials
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cites work: Some efficient computational procedures for high order ARMA models
full work available at URL: 0167-9473(92)00005-c
OpenAlex ID: W2037815768
description: scientific article; zbMATH DE number 1039194