scientific article; zbMATH DE number 1050388

zbMATH Open0878.62059MaRDI QIDQ4348663FDOQ4348663

Authors: Jan van der Leeuw 

Publication date: 20 August 1997

Title of this publication is not available (Why is that?)

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zbMATH Keywords

covariance functionestimationmaximum likelihood methodARMA processconditional least squares methodregression with ARMA residuals

Mathematics Subject Classification ID

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

Cited In (17)

• Estimation and prediction with ARMMAX model: a mixture of ARMAX models with common ARX part
• EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
• On the criterion function for ARMA estimation
• Gaussian Maximum Likelihood Estimation For ARMA Models. I. Time Series
• Approximate maximum-likelihood approach to ARMA spectral estimation
• Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study.
• Title not available (Why is that?)
• Test and Analysis for Comovement-Locomotive Hypothesis
• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• Computation of the exact likelihood function of an arima process
• Title not available (Why is that?)
• Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
• ARMA spectral estimation based on partial autocorrelations. II: Statistical analysis
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Constructing NARMAX models using ARMAX models
• Optimal calculation of residuals for ARMAX models with application to model verification
• Title not available (Why is that?)

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