EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS (Q3745110)
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scientific article; zbMATH DE number 3980303
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| English | EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS |
scientific article; zbMATH DE number 3980303 |
Statements
EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS (English)
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1987
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time domain
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computation method
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derivatives
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log likelihood function
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Gaussian time series
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ARMA model
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Fisher's scoring technique
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Lagrange multiplier test
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goodness of fit test
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0.9257662
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0.9212012
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0.91940594
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0.9085395
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