Improved maximum likelihood estimation of ARMA models

DOI10.1134/S1995080222120101MaRDI QIDQ2680668zbMATH OpenFDO

Authors Leonardo Di Gangi, Matteo Lapucci, Alessio Sortino, Fabio Schoen

Publication date 4 January 2023

Published in Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.11053

zbMATH Keywords

ARMA modelsbound-constrained optimizationclose-to-the-boundary solutionsJones reparametrizationmaximum likelihood estimation

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Artificial intelligence (68Txx)

Cites work

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Cited in

(4)

• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Constructing NARMAX models using ARMAX models
• scientific article; zbMATH DE number 816224 (Why is no real title available?)
• Improved Maximum Likelihood Estimation of ARMA Models

Describes a project that uses

Uses Software

• AS 154

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