DIFFERENTIAL GEOMETRY OF ARMA MODELS

DOI10.1111/J.1467-9892.1990.TB00057.XMaRDI QIDQ3497072zbMATH OpenOpenAlexWikidataFDO

Authors Nalini Ravishanker, Edward L. Melnick, Chih-Ling Tsai

Publication date 1990

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1990.tb00057.x

zbMATH Keywords

alpha- connectionsasymptotic biasautoregressive moving-averageBartlett correction factorcurved exponential familylikelihood ratio test statisticmaximum likelihood estimatortime seriestransformations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Exact Geometry of Autoregressive Models
• Geometric properties of AR(q) nonlinear regression models
• Sufficient statistics for arma models with some fixed parameters
• The behaviour of the likelihood function for ARMA models
• Relative curvature measures of nonlinearity for time series models

Cites work

• Covariance stabilizing transformations
• Defining the curvature of a statistical problem (with applications to second order efficiency)
• Differential geometry of curved exponential families. Curvatures and information loss
• Differential-geometrical methods in statistics
• scientific article; zbMATH DE number 3143813 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 44578 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Invariants and likelihood ratio statistics
• Normal likelihoods and their relation to large sample theory of estimation
• On the inverse of the covariance matrix for an autoregressive-moving average process
• On the Sufficient Statistics for Stationary Gaussian Random Processes
• The Role of Differential Geometry in Statistical Theory
• Third order asymptotic properties of maximum likelihood estimators for Gaussian ARMA processes

Cited in

(13)

• Differential geometrical structures related to forecasting error variance ratios
• A geometric approach to the linear modelling
• Some geometry for the maximal invariant in time series regressions
• scientific article; zbMATH DE number 6531105 (Why is no real title available?)
• Asymptotic expansion of the risk difference of the Bayesian spectral density in the autoregressive moving average model
• Exact Geometry of Autoregressive Models
• Information geodesics for gamma models of communication clustering
• DIFFERENTIAL GEOMETRY OFARFIMAPROCESSES
• Auto-regressive moving-average discrete-time dynamical systems and autocorrelation functions on real-valued Riemannian matrix manifolds
• Relative curvature measures of nonlinearity for time series models
• scientific article; zbMATH DE number 1423407 (Why is no real title available?)
• Small sample adjustment for hypotheses testing on cointegrating vectors
• Hyperbolic decomposition of Dirichlet distance for ARMA models

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