Estimation on a GAR(1) Process by the EM Algorithm

DOI10.1515/EQC.2007.165MaRDI QIDQ3526950zbMATH OpenFDO

Authors Georgiana Popovici, Monica Dumitrescu

Publication date 25 September 2008

Published in Economic Quality Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/EQC.2007.165

zbMATH Keywords

autoregressive gamma processesEM algorithmparameter estimation

Mathematics Subject Classification ID

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

Recommendations

• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
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Cites work

• ESTIMATION OF THE PARAMETERS OF AN EAR(p) PROCESS
• First-order autoregressive gamma sequences and point processes
• First-order autoregressive models for gamma and exponential processes
• On conditional least squares estimation for stochastic processes
• Simulation of weibull and gamma autoregressive stationary process
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models

Cited in

(4)

• Improved on-line estimation for gamma process
• A RANDOM PARAMETER PROCESS FOR MODELING AND FORECASTING TIME SERIES
• Gamma-related Ornstein–Uhlenbeck processes and their simulation*
• Parameter estimation in first-order autoregressive model for statistical process monitoring in the presence of data autocorrelation

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