Modified Maximum-Likelihood Method for Non-Normal Time Series Revisited

DOI10.1081/STA-120028381MaRDI QIDQ3155268zbMATH OpenOpenAlexFDO

Authors Taylan A. Ula, Ceylan Yozgatligil

Publication date 14 January 2005

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-120028381

zbMATH Keywords

information matricesleast squaresregression models

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• CORRIGENDUM: TIME SERIES MODELS WITH ASYMMETRIC INNOVATIONS
• ESTIMATING PARAMETERS IN AUTOREGRESSIVE MODELS IN NON-NORMAL SITUATIONS: ASYMMETRIC INNOVATIONS
• Estimating parameters in autoregressive models in non-normal situations: symmetric innovations
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Time series models in non-normal situation: symmetric innovations
• Time series models with asymmetric innovations

Cited in

(4)

• Estimating parameters of a multiple autoregressive model by the modified maximum likelihood method
• A note on the paper by Ahmed Hossain and Andrew R. Willan
• Letter to the Editor: Modified Maximum Likelihood Estimators for Autoregressive Models
• Modified Maximum Likelihood Estimation in First-Order Autoregressive Moving Average Models with some Non-Normal Residuals

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