ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS

DOI10.1111/J.1467-9892.1980.TB00302.XzbMATH Open0499.62084OpenAlexW2092638375MaRDI QIDQ3965458FDOQ3965458

Authors: T. W. Anderson, Raúl P. Mentz 

Publication date: 1980

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1980.tb00302.x

zbMATH Keywords

Gaussian moving average processexistence of maximum likelihood estimatesfinite order normal autoregressive models

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Title not available (Why is that?)
• Strong consistency of least squares estimates in dynamic models
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• Vector linear time series models: corrections and extensions
• The generalized variance of a stationary autoregressive process

Cited In (4)

• Assessing Prediction Error in Autoregressive Models
• Robust estimation in time series
• Predictive inference for linear and multivariate linear models with ma(1) error processes
• A note on maximum likelihood estimation in the first-order Gaussian moving average model

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