Analysis of autoregressive-moving average models: Estimation and prediction

DOI10.1093/BIOMET/64.3.535MaRDI QIDQ4155706zbMATH OpenOpenAlexFDO

Authors Mukhtar M. Ali

Publication date 1977

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/64.3.535

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(9)

• The exact likelihood function of a vector autoregressive moving average process
• Finite sample properties of estimators for autoregressive moving average models
• Fast optimization of the exact likelihood of AR and ARMA processes
• The St. Petersburg paradox and capital asset pricing
• Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• Pricing assets with stochastic cash-flow growth
• Analysis of accumulated rounding errors in autoregressive processes
• A new approximate GLS estimator for the linear regression model with ARMA(\(p,q\)) disturbances

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