New approximation for ARMA parameters estimate

DOI10.1016/j.matcom.2015.01.004OpenAlexW2060570298MaRDI QIDQ2228687

K. Djeddour, Yakoub Boularouk

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2015.01.004

zbMATH Keywords

ARMA processlikelihood functionmultivariate least squaresinnovation algorithm

Mathematics Subject Classification ID

Statistics (62-XX) Numerical analysis (65-XX)

Uses Software

• AS 191

Cites Work

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• The exact likelihood for a multivariate ARMA model
• A generalized least squares estimation method for invertible vector moving average models
• EFFICIENT ESTIMATION OF PARAMETERS IN MOVING-AVERAGE MODELS
• Recursive estimation of mixed autoregressive-moving average order
• MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Introduction to Time Series and Forecasting
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model

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