scientific article; zbMATH DE number 4036989

MaRDI QIDQ3776450zbMATH OpenFDO

Authors Edit Huhn

Publication date 1987

zbMATH Keywords

exact likelihood functionKalman filtermultidimensional partially observable elementary Gaussian processnon-observable componentsstationary Gaussian ARMA processstochastic difference equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• The exact likelihood function of a vector autoregressive moving average process
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• scientific article; zbMATH DE number 3938380
• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• scientific article; zbMATH DE number 5233715
• scientific article; zbMATH DE number 4003311

Cited in

(22)

• The exact likelihood function of a vector autoregressive moving average process
• On the likelihood function for a multivariate MA(q) process
• scientific article; zbMATH DE number 3878206 (Why is no real title available?)
• The behaviour of the likelihood function for ARMA models
• On the statistical analysis of quantized Gaussian AR(1) processes
• A structured state space approach to computing the likelihood of an ARIMA process and its derivatives
• On the exact maximum likelihood estimation of Gaussian autoregressive processes
• The likelihood functions of some autoregressive time series
• Sufficient statistics for arma models with some fixed parameters
• Computation of the exact likelihood function of an arima process
• scientific article; zbMATH DE number 1069584 (Why is no real title available?)
• The exact likelihood of an autoregressive-moving average model with incomplete data
• Miscellanea. On the exact likelihood function of a multivariate autoregressive moving average model
• scientific article; zbMATH DE number 1163471 (Why is no real title available?)
• Miscellanea. Exact Gaussian maximum likelihood and simulation for regularly-spaced observations with Gaussian correlations
• Exact Maximum Likelihood Estimation of an ARMA(1, 1) Model with Incomplete Data
• The full likelihood function of a linear stationary Gaussian process
• On the closed form of the likelihood function of the first order moving average model
• The Influence of Numerical and Observational Errors on the Likelihood of an ARMA Series
• scientific article; zbMATH DE number 5233715 (Why is no real title available?)
• Exact likelihood function for a regression model with MA(1) errors
• The auto-regression and the moving-average

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3776450)