The estimation of parameters for autoregressive-moving average models from sample autocovariances

DOI10.1093/biomet/66.3.555zbMath0419.62071OpenAlexW2028958245MaRDI QIDQ3853006

Pham Dinh Tuan

Publication date: 1979

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/66.3.555

zbMATH Keywords

maximum likelihood estimationsample autocovarianceNewton-Raphson techniqueautoregressive moving average processWalker log likelihood equation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Newton-type methods (49M15)

Related Items (3)

ASYMPTOTIC PROPERTIES OF SOME PRELIMINARY ESTIMATORS FOR AUTOREGRESSIVE MOVING AVERAGE TIME SERIES MODELS ⋮ THE ESTIMATION OF PARAMETERS FOR AUTOREGRESSIVE MOVING AVERAGE MODELS ⋮ A characterization of the inverse autocorrelation function

This page was built for publication: The estimation of parameters for autoregressive-moving average models from sample autocovariances