Estimation of a linear regression model with stationary ARMA (p,q) errors (Q751138): Difference between revisions

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Latest revision as of 12:46, 21 June 2024

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Estimation of a linear regression model with stationary ARMA (p,q) errors
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    Estimation of a linear regression model with stationary ARMA (p,q) errors (English)
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    1991
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    consistent estimation
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    stationary Gaussian ARMA process
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    maximum likelihood
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    two-stage procedures
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    nuisance parameters
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    generalized least squares
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    error covariance matrix
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    ARMA(p,q) process
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    algorithm
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    Monte Carlo comparison
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    small-sample properties
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