MAXIMUM LIKELIHOOD ESTIMATORS IN THE MULTIVARIATE AUTOREGRESSIVE MOVING-AVERAGE MODEL FROM A GENERALIZED LEAST SQUARES VIEWPOINT

DOI10.1111/J.1467-9892.1992.TB00099.XzbMATH Open0850.62668OpenAlexW1990614029MaRDI QIDQ4012953FDOQ4012953

Authors: Gregory C. Reinsel, Sabyasachi Basu, Sook Fwe Yap 

Publication date: 27 September 1992

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00099.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

Cites Work

• Modeling Multiple Times Series with Applications
• Vector linear time series models
• The estimation of ARMA models
• Multivariate linear time series models
• Recursive estimation of mixed autoregressive-moving average order
• A Fast Estimation Method for the Vector Autoregressive Moving Average Model With Exogenous Variables
• Likelihood Function of Stationary Multiple Autoregressive Moving Average Models
• FIML estimation of the dynamic simultaneous equations model with ARMA disturbances
• Exact likelihood of vector autoregressive-moving average process with missing or aggregated data
• The exact likelihood function of multivariate autoregressive-moving average models
• Computation of the exact likelihood function of multivariate moving average models
• A method for autoregressive-moving average estimation

Cited In (12)

• Asymptotic distributions for quasi-efficient estimators in echelon VARMA models
• Estimating models with high-order noise dynamics using semi-parametric weighted null-space fitting
• New approximation for ARMA parameters estimate
• Improved multivariate portmanteau test
• On multiplicative seasonal modelling for vector time series
• Asymmetric vector moving average models: estimation and testing
• ECM algorithm for estimating vector ARMA model with variance gamma distribution and possible unbounded density
• Practical Methods for Modeling Weak VARMA Processes: Identification, Estimation and Specification With a Macroeconomic Application
• Estimating the system order by subspace methods
• A generalized least squares estimation method for VARMA models
• Maximum likelihood estimation for uncertain autoregressive moving average model with application in financial market
• Joint modeling of cointegration and conditional heteroscedasticity with applications

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