EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES (Q4864582)
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scientific article; zbMATH DE number 846068
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| English | EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES |
scientific article; zbMATH DE number 846068 |
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EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES (English)
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20 February 1996
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exact maximum likelihood estimation
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pure autoregressive processes
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Gaussian likelihood function
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likelihood equations
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Yule-Walker equations
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derivatives
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iterative algorithm
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linear systems
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sufficient statistic
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0.94469047
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0.94458836
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0.93946296
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0.93480784
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