Estimation of a linear regression model with stationary ARMA (p,q) errors (Q751138)
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scientific article; zbMATH DE number 4176290
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| English | Estimation of a linear regression model with stationary ARMA (p,q) errors |
scientific article; zbMATH DE number 4176290 |
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Estimation of a linear regression model with stationary ARMA (p,q) errors (English)
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1991
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consistent estimation
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stationary Gaussian ARMA process
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maximum likelihood
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two-stage procedures
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nuisance parameters
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generalized least squares
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error covariance matrix
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ARMA(p,q) process
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algorithm
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Monte Carlo comparison
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small-sample properties
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0.90757674
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0.9028703
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0.89438057
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