scientific article; zbMATH DE number 3843029

MaRDI QIDQ3313159zbMATH OpenFDO

Authors T. W. Anderson

Publication date 1980

zbMATH Keywords

assumption of normalitymaximum likelihood estimationNewton-Raphsonscoring iterative methodsvector autoregressive moving average models

Mathematics Subject Classification ID

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

Recommendations

• The exact likelihood function of a vector autoregressive moving average process
• Exact Maximum Likelihood Estimation of Stationary Vector ARMA Models
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Vector autoregressive moving average models
• An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model

Cited in

(30)

• The exact likelihood function of a vector autoregressive moving average process
• A multivariate preconditioned conjugate gradient approach for maximum likelihood estimation in vector long memory processes
• Aggregation of space-time processes.
• Bootstrapping periodogram and cross periodogram statistics of vector autoregressive moving average models
• ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
• Estimation of the Polynomial Matrices of Vector Moving Average Processes
• An efficient method for the estimation of multivariate moving averge models
• Estimating multivariate autoregressive moving average models by fitting long autoregressions
• Maximum Likelihood Estimation of VARMA Models Using a State-Space EM Algorithm
• Vector moving average models
• scientific article; zbMATH DE number 3932250 (Why is no real title available?)
• A note on reparameterizing a vector autoregressive moving average model to enforce stationarity
• Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility
• FAST LINEAR ESTIMATION METHODS FOR VECTOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• MAXIMUM LIKELIHOOD ESTIMATION FOR AUTOREGRESSIVE PROCESSES DISTURBED BY A MOVING AVERAGE
• scientific article; zbMATH DE number 1031926 (Why is no real title available?)
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• Numerical computation of asymptotic covariance matrix of the gaussian estimators for vector arrla models
• ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION
• The inverse Kullback-Leibler method for fitting vector moving averages
• On the covariance matrix estimators of the white noise process of a vector autoregressive model
• ESTIMATION OF THE MULTIVARIATE AUTOREGRESSIVE MOVING AVERAGE HAVING PARAMETER RESTRICTIONS AND AN APPLICATION TO ROTATIONAL SAMPLING
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms
• Vector autoregressive moving average models
• Weighted least squares approximate restricted likelihood estimation for vector autoregressive processes
• A likelihood based estimator for vector autoregressive processes
• Entropic covariance models
• Maximum likelihood estimation in vector long memory processes via EM algorithm
• Maximum likelihood estimation for directional conditionally autoregressive models

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3313159)