ON HANNAN'S ESTIMATION OF ARMA MODELS

DOI10.1111/J.1467-842X.1972.TB00902.XMaRDI QIDQ5678338zbMATH OpenFDO

Authors D. F. Nicholls

Publication date 1972

Published in Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.1972.TB00902.X

Mathematics Subject Classification ID

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

Cited in

(3)

• The inverse partial correlation function of a time series and its applications
• Estimating the order of moving average models: the max X²method
• Implementation of the direct representation for the maximum likelihood estimator of a gaussian moving average process

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