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

DOI10.1111/J.1467-9892.1980.TB00302.XMaRDI QIDQ3965458zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• On the Inversion of the Sample Covariance Matrix in a Stationary Autoregressive Process
• Strong consistency of least squares estimates in dynamic models
• The generalized variance of a stationary autoregressive process
• Vector linear time series models: corrections and extensions

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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