The full likelihood function of a linear stationary Gaussian process

zbMATH Open1411.62253MaRDI QIDQ4618451FDOQ4618451

Authors: John N. Haddad, Ziad Rached, Amer Jajou 

Publication date: 5 February 2019

Full work available at URL: http://ijmcs.future-in-tech.net/13.1/R-Haddad-Rached-Jajou.pdf

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zbMATH Keywords

full likelihood functioninverse of covariance matrixcausal processesGaussian linear stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Analysis of variance and covariance (ANOVA) (62J10)

Cited In (3)

• The marginal likelihood for parameters in a discrete Gauss-Markov process
• Miscellanea. Exact Gaussian maximum likelihood and simulation for regularly-spaced observations with Gaussian correlations
• A recursive approach for determining matrix inverses as applied to causal time series processes

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