Computation of the exact likelihood function of an arima process

DOI10.1080/00949657708810151zbMath0349.62055OpenAlexW2088688933MaRDI QIDQ4119998

Warren T. Dent

Publication date: 1977

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949657708810151

Mathematics Subject Classification ID

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

Related Items

Fast optimization of the exact likelihood of AR and ARMA processes, Finite sample properties of estimators for autoregressive moving average models, Improved maximum likelihood estimation of ARMA models, A new approximate GLS estimator for the linear regression model with ARMA(\(p,q\)) disturbances, The evaluation of exact maximum likelihood estimates for varma models, A Monte Carlo study of autoregressive integrated moving average processes, On the computational competitiveness of full-information maximum- likelihood and three-stage least-squares in the estimation of nonlinear, simultaneous-equations models, TESTING THE ORDER OF DIFFERENCING IN TIME SERIES REGRESSION, A note on the derivation of theoretical autocovariances for ARMA models, Bayesian subset selection for additive and linear loss function, A recursive approach to parameter estimation in regression and time series models

Uses Software

• BRENT

Cites Work

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• Numerical methods for solving linear least squares problems
• The effect of transformations of variables upon their correlation coefficients
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• A Compendium on Estimation of the Autoregressive Moving Average Model from the Series Data
• Large-sample estimation of parameters for autoregressive processes with moving-average residuals
• The Estimation of Parameters in Linear Autoregressive Time Series