Analysis of autoregressive-moving average models: Estimation and prediction

DOI10.1093/BIOMET/64.3.535zbMATH Open0377.62051OpenAlexW2037064734MaRDI QIDQ4155706FDOQ4155706

Authors: Mukhtar M. Ali 

Publication date: 1977

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/64.3.535

Mathematics Subject Classification ID

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

Cited In (9)

• Pricing assets with stochastic cash-flow growth
• The St. Petersburg paradox and capital asset pricing
• Finite sample properties of estimators for autoregressive moving average models
• The exact likelihood function of a vector autoregressive moving average process
• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models
• Fast optimization of the exact likelihood of AR and ARMA processes
• Analysis of accumulated rounding errors in autoregressive processes
• A new approximate GLS estimator for the linear regression model with ARMA(\(p,q\)) disturbances

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