Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
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Publication:3340103
DOI10.2307/2347672zbMath0548.65098OpenAlexW2595806108MaRDI QIDQ3340103
Publication date: 1984
Published in: Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2347672
algorithmtime serieslikelihood functionquick recursion switchingstationary autoregressive- moving average process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Foundations and philosophical topics in statistics (62A01) Probabilistic methods, stochastic differential equations (65C99)
Related Items (24)
A structured state space approach to computing the likelihood of an ARIMA process and its derivatives ⋮ Fast optimization of the exact likelihood of AR and ARMA processes ⋮ Fitting ARMA time series by structural equation models ⋮ A fast estimation method for ARMA processes ⋮ Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes ⋮ Computing the likelihood and its dierivatives for a gaussian ARMA model ⋮ Some results on unilateral ARMA lattice processes ⋮ ALGORITHMS FOR ESTIMATION OF POSSIBLY NONSTATIONARY VECTOR TIME SERIES ⋮ FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS ⋮ Probabilistic-statistical programs from ``Applied Statistics ⋮ Computing optimal adjustment schemes for the general tool-wear problem ⋮ Covariance matrix estimation for estimators of mixing weak ARMA models ⋮ Computing the Exact Fisher Information Matrix of Periodic State-Space Models ⋮ Extension of the Chandrasekhar filter to the case of periodic state-space models ⋮ Recursive estimation in econometrics ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ Intra-Cluster Correlation in the Normal Model ⋮ Computation of the exact information matrix of Gaussian dynamic regression time series models ⋮ AS 197 ⋮ Computing and using residuals in time series models ⋮ Analytic derivatives for estimation of linear dynamic models ⋮ The exact quasi-likelihood of time-dependent ARMA models ⋮ Missing observations in ARIMA models: Skipping approach versus additive outlier approach ⋮ Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
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