The behaviour of the likelihood function for ARMA models

DOI10.2307/1427343zbMATH Open0553.62080OpenAlexW2333688671MaRDI QIDQ3347148FDOQ3347148

Authors: Manfred Deistler, Benedikt M. Pötscher 

Publication date: 1984

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427343

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zbMATH Keywords

maximum likelihood estimationboundarymultivariate ARMA modelsGaussian likelihood functionnatural parameter spacecontinuity of likelihood functionexistence of a maximum of the likelihood function

Mathematics Subject Classification ID

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

Cited In (19)

• On the likelihood function for a multivariate \(MA(q)\) process
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES
• The likelihood functions of some autoregressive time series
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• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• Convergence results for maximum likelihood type estimators in multivariable ARMA models. II
• DIFFERENTIAL GEOMETRY OF ARMA MODELS
• On size and power of heteroskedasticity and autocorrelation robust tests
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
• Modified Gaussian likelihood estimators for ARMA models on \(\mathbb Z^d\)
• Computation of the exact likelihood function of an arima process
• On the sufficient statistics for multivariate ARMA models: approximate approach
• Title not available (Why is that?)
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• GENERAL FORMULAS FOR SERIAL CORRELATION, VARIANCE AND LIKELIHOOD FUNCTION RELATING TO AR(k) MODELS
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