Faster ARMA maximum likelihood estimation
From MaRDI portal
Publication:1023549
DOI10.1016/j.csda.2007.07.020zbMath1452.62665arXiv1611.00965MaRDI QIDQ1023549
Publication date: 12 June 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.00965
maximum likelihood estimator; autoregressive approximation; efficiency of the sample mean; high-order autoregression; long time series and massive data sets; quantitative programming environments
62-08: Computational methods for problems pertaining to statistics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
Developments in Maximum Likelihood Unit Root Tests, Ian McLeod’s Contribution to Time Series Analysis—A Tribute, Maximum likelihood parameter estimation algorithm for controlled autoregressive autoregressive models
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