Computation of the exact likelihood function of multivariate moving average models

DOI10.1093/BIOMET/65.3.511MaRDI QIDQ3048118zbMATH OpenOpenAlexFDO

Authors M. S. Phadke, Gershon Kedem

Publication date 1978

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/450fccc5cde18d0e2c3b07f64bf4aee8737d544d

zbMATH Keywords

time seriesCholesky decompositionfrequency domainMonte Carlo simulationstime domainexact likelihood functionmultivariate moving average models

Mathematics Subject Classification ID

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

Cited in

(10)

• The auto-regression and the moving-average
• ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES
• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• A Bayesian approach to time-varying cross-sectional regression models
• An efficient method for the estimation of multivariate moving averge models
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
• Computation of the theoretical autocovariance function for a vector arma process
• Estimation Of Paramters Of A Multivatiate Moving Average Model From Estimates Of The Inverse Autocovariance Function
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm

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