The estimation of ARMA models

DOI10.1214/AOS/1176343200zbMath0311.62056OpenAlexW2075269708MaRDI QIDQ1219534

E. J. Hannan

Publication date: 1975

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176343200

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (10)

Recursive identification for EIV ARMAX systems ⋮ MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT ⋮ Large sample estimation and testing procedures for dynamic equation systems ⋮ Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes ⋮ Large sample estimation and testing procedures for dynamic equation systems. (Rejoinder) ⋮ Identification of stochastic linear systems in presence of input noise ⋮ On the order of the minimal output representation of stochastic linear systems ⋮ Estimating linear representations of nonlinear processes ⋮ A NOTE ON ARMA ESTIMATION ⋮ Rate of convergence in the central limit theorem for parameter estimation in a causal, invertible ARMA(p, q) model

This page was built for publication: The estimation of ARMA models