The behaviour of the likelihood function for ARMA models
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Publication:3347148
DOI10.2307/1427343zbMATH Open0553.62080OpenAlexW2333688671MaRDI QIDQ3347148FDOQ3347148
Benedikt M. Pötscher, Manfred Deistler
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
maximum likelihood estimationboundarymultivariate ARMA modelsGaussian likelihood functionnatural parameter spacecontinuity of likelihood functionexistence of a maximum of the likelihood function
Cited In (12)
- 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
- Convergence results for maximum likelihood type estimators in multivariable 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
- Computation of the exact likelihood function of an arima process
- 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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