GENERALIZED LEAST SQUARES ESTIMATION OF ARMA MODELS

DOI10.1111/1467-9892.00301MaRDI QIDQ3440783zbMATH OpenOpenAlexFDO

Authors E. J. Hannan, M. Salau, Laimonis Kavalieris

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00301

zbMATH Keywords

ARMA modelgeneralized least squares methodmultistage method

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical optimization and variational techniques (65K10)

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