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

DOI10.1109/TIT.1974.1055155zbMATH Open0283.62085MaRDI QIDQ4769847FDOQ4769847

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)

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

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