Maximum likelihood estimation of parameters in multivariate Gaussian stochastic processes (Corresp.)

DOI10.1109/TIT.1974.1055155MaRDI QIDQ4769847zbMATH OpenFDO

Authors

Publication date 1974

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Stochastic analysis (60H99)

Cited in

(9)

• Linear prediction error methods for stochastic nonlinear models
• Continuous‐time modelling of irregularly spaced panel data using a cubic spline model
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• Identification of a class of multivariable systems from impulse response data: Theory and computational algorithm
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Maximum likelihood and prediction error methods
• Markovian representation of a bilinear time series model and maximum likelihood estimation of the parameters
• Raw data maximum likelihood estimation for common principal component models: a state space approach
• Uniquely identifiable state-space and ARMA parametrizations for multivariable linear systems

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