Mathematical Research Data Initiative
Main page
Recent changes
Random page
SPARQL
MaRDI@GitHub
New item
Special pages
In other projects
MaRDI portal item
Discussion
View source
View history
English
Log in

Determination of initial values for the unconditional likelihood function of a moving averages process

From MaRDI portal
Publication:3365724
Jump to:navigation, search

zbMATH Open1078.62090MaRDI QIDQ3365724FDOQ3365724


Authors: Meghlaoui Dakhmouche Edit this on Wikidata


Publication date: 23 January 2006





Recommendations

  • An algorithm for the exact likelihood of a stationary vector autoregressive‐moving average model
  • WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
  • On the likelihood function for a multivariate \(MA(q)\) process
  • A fast algorithm for the exact likelihood of stationary and partially nonstationary vector autoregressive-moving average processes
  • Fast optimization of the exact likelihood of AR and ARMA processes


zbMATH Keywords

time seriesARMA modelslikelihood functionautocovariance functionsum of squares functionbackward representation of processesforecast functionforward representation of processes


Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)







This page was built for publication: Determination of initial values for the unconditional likelihood function of a moving averages process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3365724)

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:3365724&oldid=16629287"
Tools
What links here
Related changes
Printable version
Permanent link
Page information
This page was last edited on 4 February 2024, at 15:30. Warning: Page may not contain recent updates.
Privacy policy
About MaRDI portal
Disclaimers
Imprint
Powered by MediaWiki