EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES

DOI10.1111/J.1467-9892.1995.TB00258.XzbMATH Open0837.62070OpenAlexW2035202495MaRDI QIDQ4864582FDOQ4864582

James Wilkinson Miller

Publication date: 20 February 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1995.tb00258.x

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zbMATH Keywords

iterative algorithmlinear systemslikelihood equationssufficient statisticderivativesYule-Walker equationsGaussian likelihood functionexact maximum likelihood estimationpure autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Time series: theory and methods.
• Title not available (Why is that?)
• Computing the likelihood and its dierivatives for a gaussian ARMA model
• Fast optimization of the exact likelihood of AR and ARMA processes

Cited In (26)

• Exact Likelihood Equations for Autoregression Models with Multivariate Elliptically Contoured Distributions
• Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes
• Maximum likelihood estimation of the autoregressive model by relaxation on the reflection coefficients
• A frequency domain algorithm for maximum likelihood estimation of gaussian fields
• Complex-valued time series modeling for improved activation detection in fMRI studies
• A note on maximum likelihood estimation for the complex-valued first- order autoregressive process
• ON THE UNIMODALITY OF THE EXACT LIKELIHOOD FUNCTION FOR NORMAL AR(2) SERIES
• Algorithm AS 197: A Fast Algorithm for the Exact Likelihood of Autoregressive-Moving Average Models
• Title not available (Why is that?)
• Maximum likelihood estimation for directional conditionally autoregressive models
• Maximum likelihood estimation of higher-order integer-valued autoregressive processes
• Title not available (Why is that?)
• MAXIMUM LIKELIHOOD ESTIMATION OF AUTOCOVARIANCE MATRICES FROM REPLICATED SHORT TIME SERIES
• On the exact maximum likelihood estimation of Gaussian autoregressive processes
• OPTIMALITY OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN FIRST-ORDER AUTOREGRESSIVE PROCESSES
• Miscellanea. Exact Gaussian maximum likelihood and simulation for regularly-spaced observations with Gaussian correlations
• MAXIMUM LIKELIHOOD ESTIMATION FOR AUTOREGRESSIVE PROCESSES DISTURBED BY A MOVING AVERAGE
• Exact maximum likelihood estimation for non-Gaussian moving averages
• Recursive maximum likelihood estimation of autoregressive processes
• An algorithm for the exact likelihood of periodic autoregressive moving average models
• Maximum likelihood estimation for continuous-time autoregressive models by relaxation on residual variances ratio parameters
• A note on parameter reduction in the \(\mathrm{AR}(p)\) process
• Title not available (Why is that?)
• The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance
• Title not available (Why is that?)
• Maximum Likelihood Estimation for a First‐Order Bifurcating Autoregressive Process with Exponential Errors

Uses Software

• ITSM

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