EXACT MAXIMUM LIKELIHOOD ESTIMATION IN AUTOREGRESSIVE PROCESSES
From MaRDI portal
Publication:4864582
DOI10.1111/j.1467-9892.1995.tb00258.xzbMath0837.62070OpenAlexW2035202495MaRDI QIDQ4864582
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
iterative algorithmlinear systemsderivativessufficient statisticlikelihood equationsYule-Walker equationsGaussian likelihood functionexact maximum likelihood estimationpure autoregressive processes
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)
Related Items
Complex-valued time series modeling for improved activation detection in fMRI studies, Exact Likelihood Equations for Autoregression Models with Multivariate Elliptically Contoured Distributions
Uses Software
Cites Work