scientific article

zbMath0465.62083MaRDI QIDQ3917377

E. J. Hannan

Publication date: 1979

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

linear systemsmaximum likelihood estimatorsdiscrete time systemsrecursive proceduresARMAX models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10) Linear systems in control theory (93C05)

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Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ Estimation of vector Armax models ⋮ Analytical uses of Kalman filtering in econometrics — A survey ⋮ The ARMA alphabet soup: a tour of ARMA model variants ⋮ Extimation and structure determination of multivariate input systems ⋮ On the algebras of symmetries (groups of collineations) of designs from finite Desarguesian planes with applications in statistics ⋮ Testing for unit roots in time series with nearly deterministic seasonal variation ⋮ Generalizations of the KPSS‐test for stationarity ⋮ Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data ⋮ Model specification and selection for multivariate time series ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ Analytic derivatives for estimation of linear dynamic models ⋮ The exact likelihood for a multivariate ARMA model

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