Estimation of autoregressive parameters from a marginal likelihood function

DOI10.1093/BIOMET/59.1.61MaRDI QIDQ5640599zbMATH OpenOpenAlexFDO

Authors Hans Levenbach

Publication date 1972

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/59.1.61

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Analysis of variance and covariance (ANOVA) (62J10)

Cited in

(9)

• Marginal likelihood and unit roots
• On marginal likelihood inference about the parameters of linearly related responses
• Structural inference for linear regression with autocorrelated errors
• Hypothesis testing in the presence of nuisance parameters
• Marginal-likelihood score-based tests of regression disturbances in the presence of nuisance parameters
• Likelihood functions for state space models with diffuse initial conditions
• Improved likelihood-based inference for the stationary AR(2) model
• Improved inference for first-order autocorrelation using likelihood analysis
• Marginal likelihood methods for distributed lag models

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