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

DOI10.1111/J.1467-9892.1992.TB00099.XMaRDI QIDQ4012953zbMATH OpenOpenAlexFDO

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

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

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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