Computation of the exact likelihood function of an arima process

DOI10.1080/00949657708810151MaRDI QIDQ4119998zbMATH OpenOpenAlexFDO

Authors Warren T. Dent

Publication date 1977

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949657708810151

Mathematics Subject Classification ID

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

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Cites work

• A Compendium on Estimation of the Autoregressive Moving Average Model from the Series Data
• scientific article; zbMATH DE number 3423499 (Why is no real title available?)
• scientific article; zbMATH DE number 3388498 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Large-sample estimation of parameters for autoregressive processes with moving-average residuals
• Numerical methods for solving linear least squares problems
• On Durbin's formula for the limiting generalized variance of a sample of consecutive observations from a moving-average process
• The effect of transformations of variables upon their correlation coefficients
• The Estimation of Parameters in Linear Autoregressive Time Series

Cited in

(17)

• Finite sample properties of estimators for autoregressive moving average models
• A Monte Carlo study of autoregressive integrated moving average processes
• On the computational competitiveness of full-information maximum- likelihood and three-stage least-squares in the estimation of nonlinear, simultaneous-equations models
• Fast optimization of the exact likelihood of AR and ARMA processes
• Improved maximum likelihood estimation of ARMA models
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• The evaluation of exact maximum likelihood estimates for varma models
• Bayesian subset selection for additive and linear loss function
• A recursive approach to parameter estimation in regression and time series models
• ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES
• scientific article; zbMATH DE number 1069587 (Why is no real title available?)
• scientific article; zbMATH DE number 1163471 (Why is no real title available?)
• TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION
• A note on the derivation of theoretical autocovariances for ARMA models
• scientific article; zbMATH DE number 223551 (Why is no real title available?)
• Recursive estimation of pre-sampled values in stochastic models
• A new approximate GLS estimator for the linear regression model with ARMA(\(p,q\)) disturbances

Describes a project that uses

Uses Software

• BRENT

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