Evaluation of the covariance matrix for the maximum likelihood estimator of a Gaussian autoregressive-moving average process

DOI10.1093/BIOMET/70.1.279zbMATH Open0517.62087OpenAlexW2034135187MaRDI QIDQ3666096FDOQ3666096

E. J. Godolphin, J. M. Unwin

Publication date: 1983

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/70.1.279

zbMATH Keywords

efficient estimationstationary time seriesinformation matrixmaximum likelihood estimatorminimum varianceGaussian autoregressive-moving average processevaluation of covariance matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (6)

• Instrumental variables estimation of a nearly nonstationary, heterogeneous error component model.
• A Note on the Information Matrix for Multiplicative Seasonal Autoregressive Moving-Average Models
• SOME ASYMPTOTIC PROPERTIES OF THE SAMPLE COVARIANCES OF GAUSSIAN AUTOREGRESSIVE MOVING‐AVERAGE PROCESSES
• Computation of the exact information matrix of Gaussian dynamic regression time series models
• Computation of the Fisher information matrix for time series models
• FISHER'S INFORMATION MATRIX FOR SEASONAL AUTOREGRESSIVE-MOVING AVERAGE MODELS

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