A Fast Algorithm for the Repeated Evaluation of the Likelihood of a General Linear Process for Long Series

DOI10.2307/2290717zbMath0775.62237OpenAlexW4234662301MaRDI QIDQ4694188

Alberto Luceño

Publication date: 17 August 1993

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2290717

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Feedforward as a supplement to feedback adjustment in allowing for feedstock changes ⋮ On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models

Uses Software

• AS 154
• AS 197

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