GENERAL FORMULAS FOR SERIAL CORRELATION, VARIANCE AND LIKELIHOOD FUNCTION RELATING TO AR(k) MODELS

DOI10.17654/AS050050411zbMATH Open1378.62083OpenAlexW2620199093MaRDI QIDQ4589274FDOQ4589274

Authors: Jan Vrbik 

Publication date: 10 November 2017

Published in: Advances and Applications in Statistics (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/10827.htm

Recommendations

• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• The likelihood functions of some autoregressive time series
• The behaviour of the likelihood function for ARMA models
• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.
• scientific article; zbMATH DE number 3938380
• scientific article; zbMATH DE number 5233715
• The exact likelihood for a multivariate ARMA model

zbMATH Keywords

serial correlationlikelihood functionautoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10)

This page was built for publication: GENERAL FORMULAS FOR SERIAL CORRELATION, VARIANCE AND LIKELIHOOD FUNCTION RELATING TO AR(k) MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4589274)