Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
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Cites work
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- Nonlinear time series. Nonparametric and parametric methods
- On the Statistical Treatment of Linear Stochastic Difference Equations
- Pseudo Maximum Likelihood Methods: Theory
- The asymptotic theory of linear time-series models
- Time series: theory and methods.
Cited in
(37)- Modified Gaussian likelihood estimators for ARMA models on \(\mathbb Z^d\)
- Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
- Consistency of the maximum likelihood estimators for nonstationary ARMA regressions with time trends
- A general result on the estimation bias of ARMA models
- On model Fitting and estimation of strictly stationary processes
- A novel partial-linear single-index model for time series data
- Convergence results for maximum likelihood type estimators in multivariable ARMA models. II
- Consistency of global LSE for MA(1) models
- Statistical inference for autoregressive models under heteroscedasticity of unknown form
- Dirichlet ARMA models for compositional time series
- Partitioning and interpolation based hybrid ARIMA-ANN model for time series forecasting
- Exact maximum likelihood estimation for non-stationary periodic time series models
- Maximum likelihood estimation for all-pass time series models
- Probabilistic properties of parametric dual and inverse time series models generated by ARMA models
- Estimation of semivarying coefficient time series models with ARMA errors
- Rank-based estimation for autoregressive moving average time series models
- Exact Likelihood Equations for Autoregression Models with Multivariate Elliptically Contoured Distributions
- scientific article; zbMATH DE number 3963695 (Why is no real title available?)
- Computing the likelihood and its dierivatives for a gaussian ARMA model
- scientific article; zbMATH DE number 4082791 (Why is no real title available?)
- scientific article; zbMATH DE number 1069584 (Why is no real title available?)
- Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data
- On strong consistency and asymptotic normality of one-step Gauss-Newton estimators in ARMA time series models
- The asymptotic covariance matrix of the QMLE in ARMA models
- Statistical inference for ARMA time series with moving average trend
- Model selection for time series with nonlinear trend
- Tests for \(m\)-dependence based on sample splitting methods
- Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models
- Convergence results for maximum likelihood type estimators in multivariable ARMA models
- Bootstrapping ARMA time series models after model selection
- Asymptotic properties of the global self-weighted M-estimator for ARMA( p , q ) models with infinite variance
- Statistical inference for lindley random walks with correlated increments
- Statistical inference for innovation distribution in ARMA and multi-step-ahead prediction via empirical process
- On the martingale approximation of the estimation error of ARMA parameters
- Dual and inverse ARMA processes and application to time reversibility
- Gaussian maximum likelihood estimation for ARMA models. II: Spatial processes
- Generalized ARMA models with martingale difference errors
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