Extremely fast maximum likelihood estimation of high-order autoregressive models

DOI10.1111/JTSA.12839MaRDI QIDQ7288097zbMATH OpenFDO

Authors Daniel F. Schmidt, Enes Makalic

Publication date 26 June 2026

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/JTSA.12839

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A time series illustration of approximate conditional likelihood
• Estimation of stationary autoregressive models with the Bayesian LASSO
• Faster ARMA maximum likelihood estimation
• Generalized information criterion for the AR model
• On the parametrization of autoregressive models by partial autocorrelations
• Partial autocorrelation parameterization for subset autoregression
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• The strong consistency of maximum likelihood estimators for ARMA processes
• Time series: theory and methods
• Uniform asymptotic normality of the maximum likelihood estimator

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