Exact Likelihood Equations for Autoregression Models with Multivariate Elliptically Contoured Distributions

DOI10.1080/03610910802711743MaRDI QIDQ3625362zbMATH OpenOpenAlexFDO

Authors B. Tarami, Zahra Khodadadi

Publication date 12 May 2009

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910802711743

zbMATH Keywords

causalitycovariance functioninnovation distributionKotz-type distributionPearson-type VII distributionstationary processYule-Walker equations

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• scientific article; zbMATH DE number 3393603 (Why is no real title available?)
• Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors
• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• Time series: theory and methods.

Cited in

(2)

• Multi‐variate t Autoregressions: Innovations, Prediction Variances and Exact Likelihood Equations
• Multivariate elliptically contoured autoregressive process

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