Large-sample estimation of parameters for autoregressive processes with moving-average residuals

DOI10.1093/BIOMET/49.1-2.117MaRDI QIDQ5723539zbMATH OpenOpenAlexFDO

Authors

Publication date 1962

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/49.1-2.117

zbMATH Keywords

statistics

Cited in

(10)

• Parameter estimation of an autoregressive moving average model
• The first-order moving average process. Identification, estimation and prediction
• A Monte Carlo study of autoregressive integrated moving average processes
• A fast estimation method for ARMA processes
• Estimation of parameters for a linear difference equation with application to EEG analysis
• Necessary and sufficient convergence conditions of the instrumental variable method for identification
• Recursive identification for multivariate errors-in-variables systems
• Computation of the exact likelihood function of an arima process
• ARMA spectral estimation based on partial autocorrelations
• The auto-regression and the moving-average

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