Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters

DOI10.1007/BF01213470MaRDI QIDQ1802201zbMATH OpenOpenAlexFDO

Authors Alain Le Breton, Pham Dinh Tuan

Publication date 26 January 1994

Published in MCSS. Mathematics of Control, Signals, and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01213470

zbMATH Keywords

iterative algorithmmaximum likelihood estimatorcontinuous-timecontinuous-time autoregressive model

Mathematics Subject Classification ID

Model systems in control theory (93C99) Stochastic systems in control theory (general) (93E03)

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Cites work

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• Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications
• Maximum likelihood estimation of the autoregressive model by relaxation on the reflection coefficients
• On Sufficient Statistics of Gaussian Processes with Rational Spectral Density Function
• On linear statistical problems in stochastic processes
• On the parametrization of autoregressive models by partial autocorrelations
• Recursive maximum likelihood estimation of autoregressive processes
• The Fitting of Time-Series Models

Cited in

(6)

• Maximum likelihood estimation of the autoregressive model by relaxation on the reflection coefficients
• The likelihood of the parameters of a continuous time vector autoregressive model
• Estimation of continuous-time autoregressive model from finely sampled data
• YULE‐WALKER ESTIMATES FOR CONTINUOUS‐TIME AUTOREGRESSIVE MODELS
• scientific article; zbMATH DE number 3930179 (Why is no real title available?)
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance

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