Linear Methods for Estimating Arma and Regression Models with Serial Correlation

DOI10.1080/03610919008812846zbMath0707.62184MaRDI QIDQ3489227

Tarmo M. Pukkila, Sergio G. Koreisha

Publication date: 1990

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919008812846

zbMATH Keywords

linear estimation; ARMA models; autocorrelation; forecasts; long autoregression; multiple times series

Mathematics Subject Classification ID

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

62F10: Point estimation

Related Items

Determining the order of an arm a model from outlier contaminated data, Linear estimation of the regression model with ARMA disturbances: a simulation study, THE IDENTIFICATION OF SEASONAL AUTOREGRESSIVE MODELS, Untransformed first observation problem in regression model with moving average process, A new approximate GLS estimator for the linear regression model with ARMA(\(p,q\)) disturbances, A new preliminary estimator for MA(1) models, Implementing unit roost tests in ARMA models of unknown order, Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs

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