The behaviour of the likelihood function for ARMA models

DOI10.2307/1427343MaRDI QIDQ3347148zbMATHOpenAlexFDO

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

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)

Recommendations

• scientific article; zbMATH DE number 1069584
• Convergence results for maximum likelihood type estimators in multivariable ARMA models. II
• scientific article; zbMATH DE number 4036989
• The exact likelihood for a multivariate ARMA model
• scientific article; zbMATH DE number 854948

Cited in

(20)

• scientific article; zbMATH DE number 3984226 (Why is no real title available?)
• ESTIMATION OF AUTOREGRESSIVE MOVING-AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
• GENERAL FORMULAS FOR SERIAL CORRELATION, VARIANCE AND LIKELIHOOD FUNCTION RELATING TO AR(k) MODELS
• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• Computation of the exact likelihood function of an arima process
• A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models
• Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
• The likelihood functions of some autoregressive time series
• ASYMPTOTIC DISTRIBUTIONS OF LIKELIHOOD RATIOS FOR OVERPARAMETRIZED ARMA PROCESSES
• scientific article; zbMATH DE number 3992624 (Why is no real title available?)
• On size and power of heteroskedasticity and autocorrelation robust tests
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• DIFFERENTIAL GEOMETRY OF ARMA MODELS
• Sufficient statistics for arma models with some fixed parameters
• scientific article; zbMATH DE number 4082791 (Why is no real title available?)
• On the sufficient statistics for multivariate ARMA models: approximate approach
• On the likelihood function for a multivariate \(MA(q)\) process
• Convergence results for maximum likelihood type estimators in multivariable ARMA models. II
• ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES
• Modified Gaussian likelihood estimators for ARMA models on \(\mathbb Z^d\)

This page was built for publication: The behaviour of the likelihood function for ARMA models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3347148)